Using portfolio models as a mark of efficiency of bank investment risk-taking strategy

Abstract

In the article management issues about a bank investment portfolio are taken into account. The international Basel II agreements are analyzed. The influence of agreement principles on operational and market risks of banking is discussed. It is proved that application theories of portfolio will promote the decrease in risks and performance of the Basel II agreement. In the article recommendations for the application of Elton-Padberg-Gruber's portfolio theories and the Markowitz's model for the bank investment risk management are proposed. © 2012 IFAC.