The development of the model for optimization of a structure of bank’s loan portfolio

Abstract

The article shows the need for the management of the credit portfolio of commercial banks with the help of a mathematical model. It allows to estimate the cumulative risk and return of the loan portfolio, as well as make decisions on granting credit to borrowers in terms of its impact on aggregate indicators of risk and return. Testing results indicate the practical significance of this study. The developed method of estimation and optimization of the loan portfolio can be used to improve management of the bank's credit policy and improve its competitiveness by reducing risk and increasing profitability of lending operations.

Keywords

• management of the bank's loan portfolio
• the optimal structure of the model
• the maximum level of profitability
• acceptable level of credit risk assessment of the quality of the total loan