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Improving the approaches to credit risk assessment in the corporate portfolios of russian banks


Vyacheslav Shustov
(about the author)

Shustov Vyacheslav N. – Postgraduate Student (Russian Presidential Academy of National Economy and Public Administration)

Published in:
Russian Journal of Entrepreneurship
– Volume 16, Number 7 (April, 2015)



Keywords: advanced IRB-approach, cyclicality level, default probability, industry segmentation, monotony, predictive capability, rating system, the Accuracy Ratio factor


Citation:
Vyacheslav Shustov (2015). Improving the approaches to credit risk assessment in the corporate portfolios of russian banks. Russian Journal of Entrepreneurship, 16(7), 1021-1034. doi: 10.18334/rp.16.7.183


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Abstract:

The aim of the research described is to find the ways of improving the development algorithms for the model of probability of default of corporate borrowers. The author suggested such approaches as segmentation of the loan portfolio and accounting macroeconomic cycles, which will improve the predictive ability of the model in the process of its development. Barriers to the implementation of these approaches, caused by the lack of input data, are determined, and the ways of overcoming them are proposed.








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