MANAGING THE MARKET RISK IN BANKS

On an international level, the last 30 years brought constant increases in the global exposures of the banks (and not only), towards the market risk. All these dependencies and risks, if not properly known and managed, are turning into threats for the entities or persons that have exposure to the monetary market, on the foreign currency market and also on the capital market. These risks were strongly acknowledged in Romania also, following the markets liberalization, creating confusion in many instances and also creating dissatisfaction among the ones that were registering losses. For such reasons even, the current paper aims to scientifically explain the necessity to introduce and use, at a wider scale, some management techniques and instruments for fighting the market risk that has to be assessed before registering any losses and to be understood in exact quantitative terms. The paper presents methods to determine the market's volatility and ends by presenting a case study in which is illustrated how can be optimized a title portfolio consisting of "n" financial assets that are temporarily owned by a person so that this person's exposure to the market risk should be evaluated and diminished. Such an indicator that, by a single value, calculates the total exposure risk by a portfolio of this kind is VaR indicator. This way of ratio calculation is actually a scientific method for historical portfolio simulation and presents the advantage that the methodology relies on a real distribution of probabilities.