ECONOMETRIC MODELING OF CREDIT RISK

Abstract

Banking risk management systems are sets of work methods for responsible bank departments, facilitating a positive financial result under conditions of uncertainty. The object of the study is the credit risk of corporate borrowers of commercial banks in the Russian Federation. The subject of the study is credit risk management based on internal ratings of corporate borrowers. The purpose of the work is to analyze the risk management system of commercial banks and develop an internal credit risk management model for corporate borrowers. Research methods: content analysis, analytical and statistical processing of information; methods for assessing cause-and-effect relationships and expert assessments. The relevance of the presented model is due to the regulatory need for commercial banks to switch to internal ratings to assess the risk of lending. The advantages of the model include optimized costs for establishing factor indicators, as well as the valence of selected explanatory variables.

Keywords

• econometric modeling
• credit risk
• rating
• corporate borrowers
• factor models