ОПРЕДЕЛЕНИЕ КРЕДИТНОГО ПОРТФЕЛЯ НА ОСНОВЕ РАСЧЕТА РЕНТАБЕЛЬНОСТИ СОБСТВЕННОГО КАПИТАЛА БАНКА С ПРИМЕНЕНИЕМ МОДЕЛИ ОЦЕНКИ КРЕДИТНОГО РИСКА

Abstract

According to the requirements of the regulator, banks must assess the risk of the borrower, and for this purpose, such risk assessment is more often carried out using the construction of scoring models. The scoring model, which allows borrowers to be ranked according to their individual risk of ultimate losses, is often the basis for building a loan portfolio. However, this approach does not consider financial indicators. The approach proposed earlier [9] made it possible to find such a portfolio of loans that would satisfy the initial restriction on both risk and return on capital, depending on the bank's credit policy. The calculations were made based on available data on contracts and defaults of a regional retail bank. The calculations show that the approach under consideration allows increasing the profit of a credit institution with a constant amount of equity, by issuing the most profitable loans while maintaining the level of risk.