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...
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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 |
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| Online Access: | https://www.pp-mag.ru/jour/article/view/38 |
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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. |
| format | Article |
| id | doaj-art-35ac23ebf83a4fcfbffddeaed4666e20 |
| institution | DOAJ |
| issn | 2073-9885 2687-136X |
| language | Russian |
| publishDate | 2020-01-01 |
| publisher | Russian Academy of Entrepreneurship |
| record_format | Article |
| series | Путеводитель предпринимателя |
| spelling | doaj-art-35ac23ebf83a4fcfbffddeaed4666e202025-08-20T02:54:37ZrusRussian 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. Zakrevskaya1Plekhanov Russian University of EconomicsPlekhanov Russian University of EconomicsThe 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/38the credit portfolio of commercial bankcredit risk portfoliothe risk ratiosprivate risk criteriaan analytic representation of the total credit risklinear regression modelthe durbin-watson statisticsthe student’s t-test |
| 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 the credit portfolio of commercial bank credit risk portfolio the risk ratios private risk criteria an analytic representation of the total credit risk linear regression model the durbin-watson statistics the student’s t-test |
| 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 | the credit portfolio of commercial bank credit risk portfolio the risk ratios private risk criteria an analytic representation of the total credit risk linear regression model the durbin-watson statistics the student’s t-test |
| url | https://www.pp-mag.ru/jour/article/view/38 |
| work_keys_str_mv | AT magorskij theeconometricmodelofevaluationandselectionofprioritystrategiesofreducingrisksofthetotalloanportfolioofcommercialbanks AT eazakrevskaya theeconometricmodelofevaluationandselectionofprioritystrategiesofreducingrisksofthetotalloanportfolioofcommercialbanks AT magorskij econometricmodelofevaluationandselectionofprioritystrategiesofreducingrisksofthetotalloanportfolioofcommercialbanks AT eazakrevskaya econometricmodelofevaluationandselectionofprioritystrategiesofreducingrisksofthetotalloanportfolioofcommercialbanks |