出版社：Economic Laboratory for Transition Research Podgorica
摘要：Dollarization of bank assets and liabilities is a typical phenomenon
with multi-faceted effects. Primarily, this phenomenon raises risks of
imbalance in assets and liabilities following a sharp local currency
devaluation. However, dollarization may deliver additional returns.
This calls for development and implementation of strategies for
dollarization risk management. This study aims at designing risk
management strategies for ensuring optimal currency structure of
loan and deposit portfolio under an extremely high level of devaluation
risk in six post-Soviet countries. The study is based on risk
modeling methods and asset liability management techniques. The
value-at-risk methodology is applied to measure and identify main
risks banks face under dollarization. Two types of risk are identified:
the strategic risk measured as a ratio of deposits in foreign currency;
and the tactical risk measured as a ratio of foreign currency
deposits transformed into local currency loans. Suggested effective
risk management strategies are based on the optimization of these
two types of risks. The first strategy deals with deposit dedollarization
and non-transformation of foreign currency deposits
into local currency loans. Under the second strategy, increased
deposit dollarization is complemented with non-transformation of
foreign currency deposits into local currency loans. The third strategy
involves deposit de-dollarization and conducting transformation
of foreign currency deposits into local currency loans. Each strategy
entails maximization of return with subsequent minimization of risk.
The study concludes that the first strategy is appropriate for Ukraine
and Belarus, the second one suits Azerbaijan and Moldova, and the
third one fits Armenia and Georgia.
