ANALÝZA INTEGROVANÉHO TRHOVÉHO A KREDITNÉHO RIZIKA NA PRÍKLADE BANKOVÉHO SEKTORA NA SLOVENSKU

The research uses a portfolio simulation approach (PSA) to analyze an integrated market and credit risk of the Slovak banks. The model allows us to analyze the relationship between financial environment volatility and the potential losses faced by the financial institutions operating in Slovakia due to the correlated market and to the credit risks. In the current study, we apply the model to a set of three (hypothetical) banks operating in Slovakia. The proposed simulation model explicitly links changes in the interest rates, the foreign exchange rates and the sector of GDP in Slovakia, with the distribution of the possible future capital ratios of the Slovak hypothetical banks. The model discussed in the article does not aim at evaluating the current state of the financial risk measurement methods in the banking sector in Slovakia, thus it proposes a methodology of how to solve the relations between the market risk and the credit risk measurements in the specific bank portfolio.