Identification and quantitative estimation of credit risk of commercial bank

Abstract

Introduction. In the article the qualitative and quantitative aspects of banking activity risks are considered. Qualitative analysis includes a review of the classification of banking risks and their systematization. Within the quantitative analysis it is built an expert system with the usage of indistinct logic. The results of the activity of the system which acts wit the help of card of risks are shown.

Goal. The purpose of the article is the investigation of qualitative and quantitative aspects of analysis of banking risks on the basis of an integrated approach to risk management system.

The method (methodology). The systematic approach to the systematization of the credit risk of banks ia applied in the article. The multifactor discriminant models, expert methods and indistinct logic tools in the environment MATLAB are used for the modeling of credit risk.

Results. The main sources of risks within an integrated system of bank risk management have been determined. The classification of banking risks, taking into account the relationships between their species, has been worked out. Expediency of deep quantitative analysis of the credit risk of the bank has been grounded. In order to evaluate the latest in software environment of MATLAB we have created the model on indistinct logic with the usage of guidelines of NBU concerning the discriminant analysis of borrowers. On the basis of actual financial performance we have calculated indicator of credit risk. Through the application of the results of modeling and scenario approach the card of bank credit risk has been worked out and approved.