MODEL FINANCIAL RISKS: GLOBAL AND UKRAINIAN CONTEXT

The article examines the formation of internal approaches to risk assessment in the overall strategy for determining the capital adequacy of the bank. It is shown that in recent years the concept of risk management in banks has undergone key changes caused by such global factors as the growth of derivatives trading and the development of modern approaches in financial theory and the modern trend of risk management is the model management of the bank. It is determined that the current global standard Basel II encourages banks to develop and use the best methods of risk management, requires them to be able to verify the effectiveness of internal assessments, to ensure a rigorous process of determining their capital adequacy to cover all risks to which they are exposed. It is proved that the shortcomings in the model, as a rule, are fully disclosed during the financial crisis. This proves the hypothesis that stress testing has become an important element in risk management tools. An analysis of the formation of approaches to determining the expected credit losses, as well as the development of the validation of credit models; a comparison of NBU validation requirements and validation recommendations in Basel II capital standards was made and fundamental differences were identified.