Estimation of Credit Risk of Commercial Bank. Current Trends.

<p>In this paper was created the model of the probability of default in frame of an approach based on internal ratings proposed by the Basel Committee on Banking Supervision. Also the paper include testing of the rating model and calculation of credit risk components within the basic approach based on internal ratings. The research method is selected regression analysis. The resulting model is a binary logistic regression including the equity ratio, the financial leverage and number of employees . The uniqueness of the model is the use of self - developed index - ratio of debt to equity includes only real equity. The premise that the location and period of existence of the enterprise affect the probability of default of the borrower has not been confirmed . Testing has shown that the model has good predictive power and can be used in practice. Credit risk assessment should be carried out not only for individual borrowers, but also by the aggregate of bank portfolios. In this paper the credit risk of credit portfolios of regional banks on the basis of the methodology developed coefficient . Testing methodology was conducted by JSC CB &quot; Ellipse bank&quot; at the beginning of 2013. The model showed that the bank&#39;s loan portfolio was in a catastrophic risk area due to the fact that the rate of losses on loans is high and a high enough concentration of loans. Events with the bank in early 2014 showed that the method of assessment of the credit risk of the portfolio as a whole can be applied in practice. In the last part presents an analysis of current trends and problems in the banking sector and the credit environment presented their solutions.</p>