Proceedings of the 6th International Conference on Strategies, Models and Technologies of Economic Systems Management (SMTESM 2019)

Modeling Credit Risk in Banking

Authors
Andriy Oliinyk, Tetyana Donchenko, Каterina Larionova, Hennadii Kapinos
Corresponding Author
Каterina Larionova
Available Online September 2019.
DOI
https://doi.org/10.2991/smtesm-19.2019.47How to use a DOI?
Keywords
credit risk, credit portfolio, risk management
Abstract
The appropriate credit risk assessment the use of risk management methods are essential for bank financial firmness and stability as well as determinative for the behavioral aspects of bank operation. The article develops a model of credit risk assessment within the scope of the variability concept that can be used for verification of new methods for borrowers’ credit capacity estimation, the acceptable level of credit risk forecasting and its early prediction. It is aimed to be used in the process of the automated banking systems designing. The proposed model allows to apply a comprehensive credit risk assessment using means of probability theory, integral calculations and differential equations, which enable to predict the credit risk level and make effective management decisions. In accordance with the concept of variability, the model may be applied in behavioral banking. The article highlights some advantages and limitations of the model application. The proposed model of credit risk assessment has been tested on the basis of the data from one of the Ukrainian banks. The adequacy of this model has been proved by the comparison analysis of the proposed model with the results obtained by the National Bank of Ukraine methodology.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Cite this article

TY  - CONF
AU  - Andriy Oliinyk
AU  - Tetyana Donchenko
AU  - Каterina Larionova
AU  - Hennadii Kapinos
PY  - 2019/09
DA  - 2019/09
TI  - Modeling Credit Risk in Banking
BT  - Proceedings of the 6th International Conference on Strategies, Models and Technologies of Economic Systems Management (SMTESM 2019)
PB  - Atlantis Press
SP  - 239
EP  - 244
SN  - 2352-5428
UR  - https://doi.org/10.2991/smtesm-19.2019.47
DO  - https://doi.org/10.2991/smtesm-19.2019.47
ID  - Oliinyk2019/09
ER  -