Optimize the loan portfolio of commercial banks
We investigate the credit policy of a commercial bank, problems of formation commercial banks loan portfolio quality. Clarifies the concept of the loan portfolio. The object of study is the work of a commercial bank, the subject of study - formation of an income portfolio. Analyzes the loan portfolio of Sberbank of Russia. The analysis of loans by maturity, estimated lending entities. Loan portfolios allocated a certain type. Factor analysis identifies the main credits indicators to assess the loan portfolio: profitability, liquidity risk. To study selected a balanced portfolio that combines loans of different types, as high-risk and low-risk. Selects the main principles of the loan portfolio - activities within existing resources. To investigate selected portfolio consisting of five groups of credit customers with different levels of credit risk. To determine the feasibility of credit used economic and mathematical model developed by A. V. Mishchenko. This model is adapted to the current conditions of lending by introducing additional constraints. The model is implemented in the environment of the electronic processor EXCEL. By implementing this program simulation experiment is performed for different combinations of the main factors relevant to customers of the main groups of creditors on the probability of default. Then the analysis of the loan portfolio of Sberbank of Russia and obtained model results, which proves the necessity of compliance with mandatory regulations that restrict the size of large risks in lending. Statistical analysis using this model reveals the conditions for a successful credit institution. Implemented in the mathematical model of credit portfolio management subject to the limitation on the issuance of loans and features of the assets subject to credit risk, can successfully solve the problem of the failure or the decision to grant the loan in accordance with a pre-designated bank credit policy.