Credit Risk Management: Marketing Segmentation, Modeling, Accounting, Analysis and Audit

Abstract

The relevance of the research is determined by the urgency of implementing the systems of credit risk management in bank activities based on the international accounting and reporting standards. The high level of complexity of the mentioned problem is related to a significant number of credit market segments and a variety of credit forms. The aim of the research paper is to identify the risk level of individual segments in the loan portfolio at the microeconomic level taking into account macroeconomic factors. The research methods used to identify the credit risk are migration matrices, nonlinear approximation, correlation-regression analysis, statistical distributions, and forecasting. The main research results are as follows: credit segmentation of the loan portfolio was performed, a matrix of credit risk sources was constructed, default probability and default losses were quantified to reflect the expected credit losses in accounting, and the audit of construction of credit risk models was performed. The significance of the research results is determined by the possibility to measure the factors of non-stable macroeconomic situation in Ukraine while estimating the risks of functioning of banking establishments. The proposed approaches to solving the problem of credit risk management allow decreasing the volume of non-operating credits and increasing the profitability of the loan portfolio of a bank. It can be considered that the merits of the research are determining the causal relations between the separate components of credit risk, which can be effectively used to neutralize and decrease them. The emphasis was made on the tools of credit risk management represented by marketing segmentation, modeling, accounting, analysis, and audit. The prospects of further studies include clarification of the methodical approaches to credit risk management in part of the separate market segments