CREDIT RISK MANAGEMENT IN THE BANK’S FINANCIAL STABILITY SYSTEM

Abstract

It is considered and updated the model of risk assessment of bank credit portfolio in the article. The profitability and risk are the main parameters of a bank loan portfolio. The ratio of these indicators characterizes the effectiveness of credit and general activity of the bank. The purpose of credit bank portfolio’s management is to ensure the highest yield at an acceptable risk of level. It is advisable to carry out the credit portfolio risk assessment in three stages. The first stage consist of using 9 indicators that are directly related to the occurrence of credit risk: credit activity ratio, reserve adequacy ratio, loan quality ratio, overdue loan ratio, maximum risk per one borrower (or group of borrowers), the concentration level of large credit risks, the concentration level of credit risk per one insider, loan ratio of written off from the reserve, the rate of return on credit operations. On the second stage of credit risk assessment, it is performed the scored assessment required to determine the integral credit risk indicator. Depending on whether the calculated indicator falls within the optimal value range, its scores are based on one of four formulas. On the third stage, there is determined the integral risk indicator and the degree of credit risk. The calculation of the integral credit risk indicator is advisable to use for assessment of credit risk in dynamics. Comparing the results of evaluating this indicator during several periods, we can conclude that there is a tendency to change the level of credit risk of a bank. It is analysed the credit risk indicators of JSC CB PrivatBank for 2016—2018 years. According to the evaluation results of the integral index, the authors concluded that the level of credit risk management in the bank was improved. But the values did not reach the maximum scores, so JSC CB PrivatBank is exposed to credit risks. It is proposed in the research a number of measures to optimize the credit risk management of bank.