The econometric model of evaluation and selection of priority strategies of reducing risks of the total loan portfolio of commercial banks

Autor:	M. A. Gorskij, E. A. Zakrevskaya
Jazyk:	ruština
Rok vydání:	2020
Předmět:	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 Business HF5001-6182
Zdroj:	Путеводитель предпринимателя, Vol 0, Iss 34, Pp 105-123 (2020)
Druh dokumentu:	article
ISSN:	2073-9885 2687-136X
Popis:	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.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/35ac23ebf83a4fcfbffddeaed4666e20 Zobrazit plný text záznamu View record in DOAJ