Proceedings of the 7th Scientific Conference on Information Technologies for Intelligent Decision Making Support (ITIDS 2019)

Decision Making in the System of Assessment and Insurance of Credit Risks

Authors
Lyudmila Rodionova, Karina Semenova
Corresponding Author
Lyudmila Rodionova
Available Online May 2019.
DOI
https://doi.org/10.2991/itids-19.2019.45How to use a DOI?
Keywords
credit risks of banks, simulation modeling, Monte Carlo method, risk management
Abstract

The aim of this research paper is to study the system of assessment and insurance of bank’s credit risks and develop a task on the assessment of credit risks in banks of the region. To achieve the stated goal, the paper proves the topicality of decision making in formalization and software implementation of credit risk assessment in commercial banks. The theoretical background and practical experience on ensuring the system of credit risk insurance are reviewed; the methodological recommendations on the evaluation and insurance of credit risks of banks on the basis of the task statement, formalization and implementation with use of simulation modeling via the Monte Carlo method are presented. The Russian segment of retail lending keeps growing at a high rate, which is accompanied with a much lower growth rate of household income alongside with a high market competition, which requires more careful attention towards mathematical modelling of the processes of assessment and insurance of credit risks of commercial banks aimed at loss reduction. This provision determines the topicality of the considered problem. The paper states the necessity of objective forecasting of credit risks. The task of credit risk management was set, formalized and implemented in the region’s banks through calculation of the value of the required economic capital with account of unexpected risks generated by the bank’s loan portfolio. The constituent part of the proposed methodology is rating of bank’s borrowers on the basis of the model of rating functionality dependence on the factors characterizing different aspects of the borrower’s activity (financial and economic analysis), which determine the current credit score of a borrower and hardly formalized characteristics of the borrower’s risks, which identify the financial capability (qualitative analysis).

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 7th Scientific Conference on Information Technologies for Intelligent Decision Making Support (ITIDS 2019)
Series
Advances in Intelligent Systems Research
Publication Date
May 2019
ISBN
978-94-6252-728-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/itids-19.2019.45How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Lyudmila Rodionova
AU  - Karina Semenova
PY  - 2019/05
DA  - 2019/05
TI  - Decision Making in the System of Assessment and Insurance of Credit Risks
BT  - Proceedings of the 7th Scientific Conference on Information Technologies for Intelligent Decision Making Support (ITIDS 2019)
PB  - Atlantis Press
SP  - 251
EP  - 256
SN  - 1951-6851
UR  - https://doi.org/10.2991/itids-19.2019.45
DO  - https://doi.org/10.2991/itids-19.2019.45
ID  - Rodionova2019/05
ER  -