Mathematical model of loan portfolio management
The article analyzes control actions on the part of bank management, influencing on the risk and profitability of the loan portfolio. Forecasting portfolio risk and portfolio return is based on a mathematical model of loan portfolio structure dynamics as a Markov chain with discrete time. The loan portfolio structure is understood as a ratio of loan groups of various quality in the portfolio. The article outlines mathematical formalization of control inputs, the main of which are: organization of loan application approval procedure, debt recovery at early and long payment delays. Authors studiys how the control actions affect migration coefficients, and, subsequently, change the portfolio structure and financial performance. It is shown that the use of a mathematical portfolio model in the form of a Markov chain allows predicting the risk and financial performance and responding faster to changes in external conditions.