Optimization of the branch structure of bank's loan portfolio1 / Nepp A.N., Lavysh A.A., Kuprina T.V., Nikonov O.I. // IFAC Proceedings Volumes (IFAC-PapersOnline). - 2012. - V. , l. . - P. 246-250.

ISSN:

14746670

Type:

Conference Paper

Abstract:

The article describes the technique of optimizing the structure of the bank's loan portfolio based on the industry risk indicators of bankruptcy, financial stability and profitability proposed by the authors. The Monte Carlo method was applied to predict the amount of the overdue debt in terms of the formed portfolio. Approbation of the technique was made on Sberbank's loan portfolio. Application of the technique will improve the quality of the loan portfolio, reduce the amount of the overdue debt which in turn will have a positive impact on the liquidity, earnings and profitability of banks. © 2012 IFAC.

Author keywords:

Bank's loan portfolio; Monte Carlo method; Overdue debt; Risk indicators

Index keywords:

Branch structure; Financial stability; Industry risks; Loan portfolio; Overdue debt; Risk indicators; Monte Carlo methods; Profitability; Optimization

DOI:

10.3182/20120913-4-IT-4027.000

Смотреть в Scopus:

https://www.scopus.com/inward/record.uri?eid=2-s2.0-84881053422&doi=10.3182%2f20120913-4-IT-4027.00055&partnerID=40&md5=c0310be07051ab666c7b0e100b327030

Соавторы в МНС:

Другие поля

Поле	Значение
Link	https://www.scopus.com/inward/record.uri?eid=2-s2.0-84881053422&doi=10.3182%2f20120913-4-IT-4027.00055&partnerID=40&md5=c0310be07051ab666c7b0e100b327030
Affiliations	Ural Federal University named after the First President of Russia Boris N. Yeltsin, 620000, Ekaterinburg, Russian Federation
Author Keywords	Bank's loan portfolio; Monte Carlo method; Overdue debt; Risk indicators
References	McLeish, D.L., (2011) A Multiname First-passage Model for Credit Risk, 82p. , Department of Statistics and Actuarial Science, Mathematics and Computer Building // University of Waterloo, 200 University Avenue West, Waterloo, Ontario N2L 3G1, Canada; Nepp, A.N., Demina, I.V., Assessment tools from the partner companies in the banking and commercial lending (2011) Financial Risk Management, (2); Nepp, A.N., Demina, I.V., Risk assessment model as an alternative to bankruptcy risk assessment tool partner (2011) Business. Education. Right. Bulletin of the Volgograd Institute of Business, (3); Polterovich, V.M., The economic crisis in 2008: Breakdown of institutions and attitudes (2009) Journal of the New Economic Association, pp. 1-2; Official Website of the Savings Bank of Russia, , http://www.sbrf.ru, [electronic resource] - Access mode; Federal State Statistics Service, , www.gks.ru, [electronic resource] - Access mode
Correspondence Address	Ural Federal University named after the First President of Russia Boris N. Yeltsin, 620000, Ekaterinburg, Russian Federation
Sponsors	IFAC TC 2.4. Optimal Control;TC 1.2 Adaptive and Learning Systems;TC 1.5 Networked Systems;TC 2.1 Control Design;TC 2.2 Linear Control Systems
Conference name	15th IFAC Workshop on Control Applications of Optimization, CAO 2012
Conference date	13 September 2012 through 16 September 2012
Conference location	Rimini
Conference code	98328
ISBN	9783902823144
Language of Original Document	English
Abbreviated Source Title	IFAC Proc. Vol. (IFAC-PapersOnline)
Source	Scopus