Model of bank credit risk assessment without mortgage

Abstract

Purpose: the article deals with the development of a credit risk model for a commercial bank for solving the problems of asset management and attracting new assets. Discussion: assuming that the Bank issues a loan in the absence of mortgage, the problem reduces itself to the assessment of credit risk as the probability of non-receipt of the expected result. The authors determine formulas for calculating the level of risk under different credit policies for different laws of probability distribution. Results: the author obtained a general solution to the problem of assessing the risk of a commercial bank when granting a loan to an individual in the absence of a loan based on the use of a probabilistic modeling approach. The results were extended to various options for the credit policy of banks, based on varying degrees of risk assessment.