Model of bank credit risk assessment without mortgage

  • Илона Владимировна Трегуб Financial University under the Government of the Russian Federation
Keywords: repayment risk, random model, risk management

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.

Downloads

Download data is not yet available.
Published
2019-07-20
How to Cite
Трегуб, И. В. (2019). Model of bank credit risk assessment without mortgage. Modern Economics: Problems and Solutions, 6, 37-43. https://doi.org/10.17308/meps.2019.6/2133
Section
Mathematical Methods in Economics