SIMULATION OF FLOATING INTEREST RATE SECURITY LEVEL

The article shows that risk management in the process of international lending involves different methods and actions that the bank can use to reduce, in particular, interest rate risk — reduction of own funds due to adverse changes in interest rates. At the same time, new mechanisms are being developed to adapt loan rates — a floating rate, the amount of which is periodically reviewed and tied to the deposit rate. An analysis of interest rates that requires an analysis of the revaluation and sensitivity of the bank's loan portfolio is under consideration, while various aspects of interest risk are considered: revaluation risk, exchange rate risk, main risk, options. There are several models of interest rate risk management, including statistical models that determine the gap between assets and liabilities that are most sensitive to interest rates. It is proved that for today insufficiently developed methods of establishing a floating interest rate for international lending. As a rule, banks implement their own methods for defining it. Therefore, approaches to minimizing the risks of international lending and the development of methods for establishing a rational range of floating interest rates are a topical issue. The use of the floating interest rate in Ukraine and the setting of its upper limit is shown on the Universal Bank example. The estimated values of the floating rate rejection of the Universal Bank and the estimated value of its upper and lower limits for different periods of lending are given. The obtained values characterize the upper and lower limits of the change in the market interest rate that corresponds to the permissible risk area. The analysis of the time series of deviations of the values of the floating rate of the bank from the NBU discount rate for the period of 250 days in 2017 using linear filtration for two, nine and thirty five points. Thus, it is possible to adjust the change in the interest rate to a value that takes into account the risks. Such a correction allows to compensate for possible negative factors on the financial flows of the bank.