Panchenko, Maryna (Wydział Nauk Ekonomicznych, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie)
PORTFOLIO RISK MANAGEMENT IN INVESTMENT ACTIVITY OF BANKING SECTOR
Zeszyty Naukowe SGGW, Polityki Europejskie, Finanse i Marketing, 2014, vol., nr 11(60), s. 170-184
Key words
risk portfolio risk uncertainty Capital Asset Pricing Model variance
Abstract
The purpose is to investigate the role of portfolio risk management in investment activities in banks as well as to examine the proper method of recognizing risk. It aims to assist the managers to integrate the risks calculating methods in more effective way into overall banking system, which could be included into general scheme of systemized analysis of banking activities. One of the main problems concerning the evaluation and optimization of risk exposure is the choice of “good” risk measures. The study shows the example of combination Capital Asset Pricing Model with the elements of fundamental analysis. A set of the main rules of making investment portfolio was also added to this combination. The shown elements of different methods help business entities to avoid systematic risks and to receive adequate returns. The example of Deutsche Bank creates an assumption of having reliable methods of protection in its activity from the risks. That is why, authors concluded that chosen bank has mostly relations with “good risks” and on that score they can be predictable or determined. Such hypothesis was accepted with the provided methods. Nevertheless, due to some theories, other risk measures have been proposed.