Bankda valyuta tavakkalchiliklarini boshqarishning raqamli platformasi: ochiq valyuta pozitsiyasi bo‘yicha var-tahlilni avtomatlashtirish
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raqamli platforma, valyuta tavakkalchiligi, ochiq valyuta pozitsiyasi, Value at Risk (VaR), hodisalarga asoslangan qayta hisoblash, risk-appetit, regulyativ kapital, limitlarni avtomatlashtirish, stress-testlash, bektestingAbstrak
Tadqiqotning maqsadi 3301-son Qoidalar bo‘yicha ochiq valyuta pozitsiyasi hisobini 3427-son Nizomning 91¹-bandiga muvofiq Value at Risk (VaR), stress-senariylar va ichki limitlar bilan birlashtiruvchi valyuta tavakkalchiliklarini boshqarish raqamli platformasini ishlab chiqishdir. Qo‘lda ishlashda har bir tranzaksiya, valyuta kursi, kapital yoki limit o‘zgarishidan so‘ng mutaxassis ma’lumotlarni qayta solishtirishi, yagona pozitsiya, VaR, ssenariy yo‘qotishlari va limitlardan foydalanishni yangidan hisoblashi kerak, shu sababli nazorat kechikadi. Taklif etilgan hodisalarga asoslangan arxitektura tizim qabul qilgan har bir o‘zgarishdan so‘ng pozitsiya, 10 kunlik 99 foizli VaR, stress-senariylar va samarali limitni avtomatik qayta hisoblaydi, boshqaruv paneli va ogohlantirishlarni yangilaydi. 2021-yil 16-fevraldan 2026-yil 8-sentabrgacha bo‘lgan USD, EUR va RUB rasmiy kurslari bo‘yicha tarixiy modellashtirish shuni ko‘rsatdi: 100 mlrd so‘mlik pozitsiya uchun konservativ VaR mos ravishda 3,64; 5,18 va 20,36 mlrd so‘mni, 10 mlrd so‘mlik VaR-byudjetida esa pozitsiya limitlari 274,42; 192,88 va 49,11 mlrd so‘mni tashkil etadi. Platforma 3301-son Qoidalardagi majburiy cheklovlarni almashtirmaydi, balki VaRni har bir hodisadan so‘ng ishlaydigan boshqaruv mexanizmiga aylantiradi.
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