Searching for the credit portfolio structure and building portrait of prospective borrower / Podluzhnyy S., Kruglikov S. // IFAC-PapersOnLine. - 2015. - V. 28, l. 25. - P. 231-235.

ISSN:

24058963

Type:

Conference Paper

Abstract:

Article describes business process engineering of a commercial bank in part of developing credit policy. Proposed model gives tools of finding optimal structure of bank's credit portfolio and finding optimal financial performance indicators of a potential borrower using differential equations and modeling of stochastic variables and criterion of indifference of a bank. Finally, model forms the base and rules for the simulation of performance indicators of potential borrowers using Monte-Carlo method for future time instances. © 2015, IFAC Hosting by Elsevier Ltd.

Author keywords:

Bank Portfolio Modeling; Business Process Engineering; Credit Policy; Differential Equations; Indifference Criterion Of A Bank; Mean Reversion Process; Probability Of Default; Stochastic Variables

Index keywords:

Benchmarking; Differential equations; Monte Carlo methods; Process engineering; Stochastic models; Stochastic systems; Business process engineerings; Credit policy; Indifference Criterion Of A Bank; M

DOI:

10.1016/j.ifacol.2015.11.092

Смотреть в Scopus:

https://www.scopus.com/inward/record.uri?eid=2-s2.0-84992530179&doi=10.1016%2fj.ifacol.2015.11.092&partnerID=40&md5=020d6f845d0642869a3c03d1657e4ff9

Соавторы в МНС:

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Другие поля

Поле	Значение
Link	https://www.scopus.com/inward/record.uri?eid=2-s2.0-84992530179&doi=10.1016%2fj.ifacol.2015.11.092&partnerID=40&md5=020d6f845d0642869a3c03d1657e4ff9
Affiliations	Ural Federal University, Yekaterinburg, Russian Federation; Ural Federal University, IMM UrO RAS, Yekaterinburg, Russian Federation
Author Keywords	Bank Portfolio Modeling; Business Process Engineering; Credit Policy; Differential Equations; Indifference Criterion Of A Bank; Mean Reversion Process; Probability Of Default; Stochastic Variables
References	Löffler, G., Posch, P.N., (2007) Credit Risk Modelling Using Excel and VBA, pp. 1-24. , John Wiley & Sons, Ltd, Chichester; Fleming, W.H., Rishel, R.W., (1975) Deterministic and Stochastic Optimal Control, pp. 149-155. , Publisher Mir; Moon, M., Schwartz, E.S., Rational pricing of internet companies revisited (2001) The Financial Review, 36, pp. 7-26. , Eastern Finance Association; Urtaev, M., Predicting probability of default of bond issuers on the basis of financial variables (2013) Management of Economic Systems, 57
Editors	Zsifkovits M.Zsifkovits M.Pickl S.W.
Sponsors	et al.;International Federation of Automatic Control (IFAC) - TC 1.2 Adaptive and Learning Systems;International Federation of Automatic Control (IFAC) - TC 1.5 Networked Systems;International Federation of Automatic Control (IFAC) - TC 2.2 Linear Control Systems;International Federation of Automatic Control (IFAC) - TC 2.3 Non-Linear Control Systems;International Federation of Automatic Control (IFAC) - Technical Committee (TC) 2.4. on Optimal Control
Conference name	16th IFAC Workshop on Control Applications of Optimization, CAO 2015
Conference date	6 October 2015 through 9 October 2015
Conference code	118491
Language of Original Document	English
Abbreviated Source Title	IFAC-PapersOnLine
Source	Scopus