Экспериментально-синтетический подход к сегментарной оценке интегрального кредитного риска

Abstract

Multifaceted, multifactor and multicomponent nature of credit risk makes it possible to consider it as an integral hypothetical unit which consists of the autonomous diverse segments specifying risky situations. As the given article is focused on the mechanism of loan fund circulation within foreign currency loan the author considers the combination of credit, interest rate, foreign exchange and inflation risks within the aggregate (total, combined) credit risk. Foreign exchange and inflation risks generate special interest in relation to evaluation procedures as there can be statutory regulation of interest rate risk and well-functioning mechanism of debt capacity analysis as the main factor of credit risk. As commercial loans and bank credits taken by Russian companies are wide spread the authors of the article suggest an innovative procedure of aggregate credit risk assessment considering agricultural companies, as well as companies belonging to chemical and machine-building industries as “pure borrowers” (debtors). The research has a set sequence of procedures. During the first stage the authors structured a risky situation in the lending process, determined specific constituents and performed their further strategic agreement. The second stage implies the analysis of the possibilities and specific characteristics of the preliminary segment assessment of the risk level. The third stage involves the development of experimental synthetic approach to the segment assessment of the aggregate credit risk in case of foreign exchange rate and interest rate volatility when there are inflation expectations. The procedure considers the following scenarios: 1) isolated assessment of inflation risk; 2) isolated assessment of exchange rate risk; 3) complex assessment of inflation and exchange rate risks.