The econometric model of evaluation and selection of priority strategies of reducing risks of the total loan portfolio of commercial banks
The article observe the problem in using the econometric approach to the assessment of the total loan risk appearing in portfolio of assorted risk of commercial bank loans. It is proposed to use the linear regression model of dependence between the value of the bank’s own funds (as the most ris-sens...
| Main Authors: | , |
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| Format: | Article |
| Language: | Russian |
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Russian Academy of Entrepreneurship
2020-01-01
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| Series: | Путеводитель предпринимателя |
| Subjects: | |
| Online Access: | https://www.pp-mag.ru/jour/article/view/38 |
| _version_ | 1797883416012652544 |
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| author | M. A. Gorskij E. A. Zakrevskaya |
| author_facet | M. A. Gorskij E. A. Zakrevskaya |
| author_sort | M. A. Gorskij |
| collection | DOAJ |
| description | The article observe the problem in using the econometric approach to the assessment of the total loan risk appearing in portfolio of assorted risk of commercial bank loans. It is proposed to use the linear regression model of dependence between the value of the bank’s own funds (as the most ris-sensitive portfolio characteristic) and the current values of particular indicators of risk K1-K7 (the quantities of reserves and own funds on the previous period of time) in assessing the risk. Different versions of linear regression models are calculated according to the specific loan portfolio of the bank, which allow to asses credit risk for different scenarios of implementation of credit strategies. |
| first_indexed | 2024-04-10T03:50:14Z |
| format | Article |
| id | doaj.art-35ac23ebf83a4fcfbffddeaed4666e20 |
| institution | Directory Open Access Journal |
| issn | 2073-9885 2687-136X |
| language | Russian |
| last_indexed | 2024-04-10T03:50:14Z |
| publishDate | 2020-01-01 |
| publisher | Russian Academy of Entrepreneurship |
| record_format | Article |
| series | Путеводитель предпринимателя |
| spelling | doaj.art-35ac23ebf83a4fcfbffddeaed4666e202023-03-13T07:17:28ZrusRussian Academy of EntrepreneurshipПутеводитель предпринимателя2073-98852687-136X2020-01-0103410512337The econometric model of evaluation and selection of priority strategies of reducing risks of the total loan portfolio of commercial banksM. A. Gorskij0E. A. Zakrevskaya1Российский экономический университет им. Г.В. ПлехановаРоссийский экономический университет им. Г.В. ПлехановаThe article observe the problem in using the econometric approach to the assessment of the total loan risk appearing in portfolio of assorted risk of commercial bank loans. It is proposed to use the linear regression model of dependence between the value of the bank’s own funds (as the most ris-sensitive portfolio characteristic) and the current values of particular indicators of risk K1-K7 (the quantities of reserves and own funds on the previous period of time) in assessing the risk. Different versions of linear regression models are calculated according to the specific loan portfolio of the bank, which allow to asses credit risk for different scenarios of implementation of credit strategies.https://www.pp-mag.ru/jour/article/view/38кредитный портфель коммерческого банкакредитный риск портфелянормативы рискачастные критерии рискааналитическое представление совокупного кредитного рискамодель линейной регрессиикритерии стьюдента и дарбина-уотсена |
| spellingShingle | M. A. Gorskij E. A. Zakrevskaya The econometric model of evaluation and selection of priority strategies of reducing risks of the total loan portfolio of commercial banks Путеводитель предпринимателя кредитный портфель коммерческого банка кредитный риск портфеля нормативы риска частные критерии риска аналитическое представление совокупного кредитного риска модель линейной регрессии критерии стьюдента и дарбина-уотсена |
| title | The econometric model of evaluation and selection of priority strategies of reducing risks of the total loan portfolio of commercial banks |
| title_full | The econometric model of evaluation and selection of priority strategies of reducing risks of the total loan portfolio of commercial banks |
| title_fullStr | The econometric model of evaluation and selection of priority strategies of reducing risks of the total loan portfolio of commercial banks |
| title_full_unstemmed | The econometric model of evaluation and selection of priority strategies of reducing risks of the total loan portfolio of commercial banks |
| title_short | The econometric model of evaluation and selection of priority strategies of reducing risks of the total loan portfolio of commercial banks |
| title_sort | econometric model of evaluation and selection of priority strategies of reducing risks of the total loan portfolio of commercial banks |
| topic | кредитный портфель коммерческого банка кредитный риск портфеля нормативы риска частные критерии риска аналитическое представление совокупного кредитного риска модель линейной регрессии критерии стьюдента и дарбина-уотсена |
| url | https://www.pp-mag.ru/jour/article/view/38 |
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