摘要：In risk management process banks as financial investors should consider properties of yield probability distribution for each asset in the trading subportfolio in order to properly measure and control risk to which they are exposed to. Coherent risk control system for positions in a trading subportfolio requires also limits for loss limitation, what is a burdensome responsibility for a risk management in a market, where yields of assets are not normally distributed. As an investor is assumed to aggregate all his different attitudes towards risk of an investment into his utility function, we assume banks being risk averse as investors with hyperbolic risk averse utility function and calculate the fourth central moment of yield probability distribution for selected assets in Slovenian capital market. Based on calculated kurtosis of yield probability distributions, impact of kurtosis on risk management in a commercial bank shall be revealed in terms of limits setting.
关键词：risk management; bank; yield probability distribution function; utility function; risk control
