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Risk’s theory and practice in the bank of commerce

Author: Enicov Igor
Degree:doctor habilitat of economics
Speciality: 08.00.10 - Finance; Monetary Economics; Credit
Scientific consultant: Eugen Hrişcev
doctor habilitat, professor, Academy of Economic Studies of Moldova
Scientific council:


The thesis was presented on the 26 January, 2008
Approved by NCAA on the 28 February, 2008


Adobe PDF document0.43 Mb / in romanian


CZU 336.71 (043.3)

Adobe PDF document 1.66 Mb / in romanian
242 pages


banking risk, risk evaluation, banking system, commercial bank, credit risk, liquidity risk, market risk, integrated management


The goals and tasks of the undertaken research are determined by the necessity to study and analyze the theoretical, methodological and practical aspects of risk management in the bank of commerce with the aim of improving it. We have researched the conceptual approaches of the notion of risk and risk management as part of banking, the criteria of classification, identification, assessment, analysis and control of risk. We propose the risk classification in accordance with the events which generate risk exposure. We have made a comparative analysis of risk admeasurement methods applied in banking practice. We analyze the requirements of both managerial body and Basel Committee. We analyze the evolution of banking system and risk management in banks of commerce with a reforming economy. The work presents an ample analysis of the competition in the banking system from the Republic of Moldova.

We make a comparative analysis of financial risk assessment practice in banks of commerce and the work proposes assessment models of risk liquidity, credit risk and market risk which will allow the improvement of risk management methods applied in the present. For the elaboration of the above mentioned methods we have used traditional assessment methods which correspond with the recommendations of the banking supervisory body. These methods are implemented in some banks of commerce from the Republic of Moldova.

The work presents a critical analysis of traditional methods of risk management. We propose the implementation of the integrated risk management model in banking practice. In order to achieve this we propose a new approach of the concept of risk and a banking model which allows its activity simulation on the basis of Petri Networks. We have made a detailed analysis of possibilities to simulate the bank of commerce activity on the basis of lagging hybrid Petri Networks and this work presents an example of simulation using an intended soft.

The scientific and practical importance of the present thesis is determined by the conclusions and recommendations concerning the risk classification, the improvement of the traditional risk management methods, the possibility of the integrated risk management implementation and the application of the main new methods of analyzing the risk by means of Petri Networks.

The results of this research may be used by banks of commerce with the aim of improving the risk management, by theoreticians who study problems of the banking risk management and also by institutions of education.