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Risk management in the commercial banks

Author: Bunescu Gheorghe
Degree:doctor of economics
Speciality: 08.00.10 - Finance; Monetary Economics; Credit
Scientific adviser: Igor Enicov
doctor habilitat, professor, Moldova State University


The thesis was presented on the 5 September, 2008
Approved by NCAA on the 23 October, 2008


Adobe PDF document0.37 Mb / in romanian


CZU 336.71:336.77(478+100)

Adobe PDF document 1.61 Mb / in romanian
124 pages


Risk, risk management, risk’s genesis, model, second level model, process, probability, neorationalism, radical constructivism, Basel II, commercial bank, banking risk, process risk, global risk, business-plan, banking process model, credit risk, market risk, operational risk, liquidity risk, interest rate risk, risk of reputation, scoring model


The main research objective is the disclosure of risk’s nature (its genesis), and following explanation of new risk management approaches necessity application in banking. Only understanding of phenomenon nature and its cause allows us to manage it.

Although the notion of risk appears at crossing of many scientific domains, the given doctorate paper is focusing on banking risks. Their management problem is becoming extremely important.

In current work the model nature of the risk is demonstrated, basing on the philosophical concepts of neorationalism and radical constructivism. Risk is the reverse side of the cognitive models, used by people, which follow specific laws in its modeling.

This doctorate paper proposes a universal risk and risk management definitions, elaborated in accordance with model approach and applicable in all human activities. The definition of risk in economy is determined as well and theoretical grounds for risk management problem examination in banking were laid, too.

Besides, the systematization of risk management experience was carried out within the bounds of both the National Bank of Moldova recommendations (local level) and the Basel Committee on Banking Supervision recommendations (global level).

There was proposed a bank’s activity model, that allows, firstly, to outline the research object (i.e. banking activity), secondly, to give definitions and interpretations of banking risks and, thirdly, to identify new possible risk management development directions in banking.

It is proved that risk management in banking on organizational level (global risk management) should be started with business-planning that is the basic banking activity model. In order to identify banking risks in accordance with model approach there was proposed a more global model – second level model, for which bank’s business-plan is just a particular case. The fragment of this model regarding credit risk was described more detailed – i.e. scoring model, along with corresponding informational technologies’ requirements.

The scientific and practical value of the present thesis is determined by the conclusions and recommendations concerning the approach to risk and risk management definitions; identification, description and interpretation of basic banking risks, as well as recommendations regarding scoring models application for retail crediting.

The basic conclusions and recommendations of the research can contribute, in our opinion, to the correct risk phenomena comprehension, corresponding research stimulation along with banks’ risk management system perfection.

The results of this research may be used by the commercial banks and consulting companies for the purpose of improving the risk management (especially retail crediting risks), by theoreticians who study problems of the banking risk management and also by educational institutions within the frameworks of scientific disciplines that study phenomenon nature and make its forecasts.