MODEL OF RISKS ASSESSMENT OF A BANK’S CREDIT PORTFOLIO
Journal: Academic Bulletin "Economics and Region" (Vol.1, No. 50)Publication Date: 2015-02-27
Authors : Nelya I. Volkova;
Page : 11-18
Keywords : credit strategy; credit policy; credit portfolio; profitability; credit portfolio risks; indicators; methods of a credit portfolio management; model of a ba nk’s credit portfolio risks assessment; integrated indicato;
Abstract
It is defined that the main parameters of a bank’s credit portfolio are profitability and risks, and therefore the main objective of a bank’s credit portfolio management is ensuring the maximum profitability at admissible risks level. Indicators, on the basis of which it is expedient to carry out each stage of a bank’s credit risks estimation process are determined. The factors determining the weight of each separate indicator influencing all risks of a bank’s credit portfolio are analysed. Expediency of using the method of expert evaluations, which main advantage is the possibility of using it in the case of information deficiency, is proved. The author's model of a bank’s credit portfolio risks assessment is based on using a method of coefficients in the course of the credit activity analysis and calculation of an integrated indicator of a bank’s credit risk is suggested. T he block including the scheme of algorithm for the mark assessment of a bank’s credit risks is given. Indicators at all stages of a bank’s credit portfolio risks assessment process are investigated. Tendencies of a bank’s credit risks level changes on the basis of comparing the results of this indicator assessment throughout several periods are established. Criteria of qualitative system of a bank’s credit portfolio risks assessment in the conditions of modern financial and economic crisis are defined. It is proved that it is expedient to use calculation of an integrated indicator for credit risks assessment in dynamics.
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