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Financial Engineering Tools for Monitoring a Bank’s Securities Portfolio
Khalatur S. M., Masiuk J. V., Marushak D. V.

Khalatur, Svitlana M., Masiuk, Juliia V., and Marushak, Dmytro V. (2025) “Financial Engineering Tools for Monitoring a Bank’s Securities Portfolio.” Business Inform 9:310–316.
https://doi.org/10.32983/2222-4459-2025-9-310-316

Section: Finance, Money Circulation and Credit

Article is written in Ukrainian
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UDC 336.719

Abstract:
The aim of the article is to identify the financial engineering tools for monitoring the securities portfolio of commercial banks. The article examines the theoretical and practical aspects of monitoring the securities portfolio of banking institutions. The authors emphasize that a significant share of assets is represented by the securities portfolio, which serves both as an investment resource and as a tool for ensuring liquidity and risk diversification. At the same time, market instability, interest rate fluctuations, currency risks, and geopolitical challenges pose considerable threats to preserving and increasing the value of such portfolios. Under these circumstances, there is a need to use innovative management methods and technologies, integrated within the conception of financial engineering. The essence of monitoring is described as a continuous process of analyzing the structure, profitability, and risks of a portfolio, and its main objectives are defined – ensuring liquidity, compliance with NBU regulations, diversification, and increasing investment returns. A classification of monitoring methods is presented, including classical approaches from Markowitz’s portfolio theory, sensitivity analysis, as well as modern financial engineering tools (VaR, stress-testing, Black–Litterman model, credit rating systems). The organizational stages of the monitoring process in a bank are outlined – from data collection to managerial decision-making and reporting. Special attention is given to challenges related to martial law in Ukraine, rising market volatility, and concentration risks. The significance of digital technologies and automated portfolio management systems for improving monitoring efficiency is highlighted. It is proved that financial engineering tools play a key role in monitoring and managing a bank’s securities portfolio, allowing for: assessing risks and forecasting potential losses; diversifying investments; effectively hedging interest rate, currency, and credit risks; ensuring transparency and prompt managerial decision-making.

Keywords: financial engineering, securities, commercial banks, monitoring.

Fig.: 1. Formulae: 2. Bibl.: 11.

Khalatur Svitlana M. – Doctor of Sciences (Economics), Professor, Professor, Department of Finance, Banking and Insurance, Dnipro State Agrarian and Economic University (25 Academician Serhiy Yefremov Str., Dnipro, 49027, Ukraine)
Email: [email protected]
Masiuk Juliia V. – Candidate of Sciences (Economics), Professor, Professor, Department of Finance, Banking and Insurance, Dnipro State Agrarian and Economic University (25 Academician Serhiy Yefremov Str., Dnipro, 49027, Ukraine)
Email: [email protected]
Marushak Dmytro V. – Master, Dnipro State Agrarian and Economic University (25 Academician Serhiy Yefremov Str., Dnipro, 49027, Ukraine)

List of references in article

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