Risk Management of Dollarization in Banking: Case of Post-Soviet Countries

Simple item page
dc.contributor.authorKaminskyi, Andrii
dc.contributor.authorVersa, Nataliia
dc.date.accessioned2019-05-28T12:38:22Z
dc.date.available2019-05-28T12:38:22Z
dc.date.issued2018
dc.description.abstractDollarization of bank assets and liabilities is a typical phenomenon with multi-faceted effects. Primarily, this phenomenon raises risks of imbalance in assets and liabilities following a sharp local currency devaluation. However, dollarization may deliver additional returns. This calls for development and implementation of strategies for dollarization risk management. This study aims at designing risk management strategies for ensuring optimal currency structure of loan and deposit portfolio under an extremely high level of devaluation risk in six post-Soviet countries. The study is based on risk modeling methods and asset liability management techniques. The value-at-risk methodology is applied to measure and identify main risks banks face under dollarization. Two types of risk are identified: the strategic risk measured as a ratio of deposits in foreign currency; and the tactical risk measured as a ratio of foreign currency deposits transformed into local currency loans. Suggested effective risk management strategies are based on the optimization of these two types of risks. The first strategy deals with deposit dedollarization and non-transformation of foreign currency deposits into local currency loans. Under the second strategy, increased deposit dollarization is complemented with non-transformation of foreign currency deposits into local currency loans. The third strategy involves deposit de-dollarization and conducting transformation of foreign currency deposits into local currency loans. Each strategy entails maximization of return with subsequent minimization of risk. The study concludes that the first strategy is appropriate for Ukraine and Belarus, the second one suits Azerbaijan and Moldova, and the third one fits Armenia and Georgia.en_US
dc.identifier.citationKaminskyi A. Risk Management of Dollarization in Banking: Case of Post-Soviet Countries / Andrii Kaminskyi, Nataliia Versa // Montenegrin Journal of Economics. - 2018. - Vol. 14, No. 2. - Р. 21-40.en_US
dc.identifier.issn1800-6698
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/15743
dc.language.isoenen_US
dc.relation.sourceMontenegrin Journal of Economics. - 2018. - Vol. 14, No. 2en_US
dc.statuspublished earlieren_US
dc.subjectfinancial dollarizationen_US
dc.subjectbankingen_US
dc.subjectpost-Soviet countriesen_US
dc.subjectcurrency shocksen_US
dc.subjectarticleen_US
dc.titleRisk Management of Dollarization in Banking: Case of Post-Soviet Countriesen_US
dc.typeArticleen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Kaminskyi_Risk_Management_of_Dollarization_in_Banking_Case.pdf
Size:
1.73 MB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
7.54 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Кафедра фінансів