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The credit risk of a commercial bank as a subject of this research is particularly interesting. Lending as an element of banking activity is most at risk of non-return of funds or delay in payment on a bank loan. Assessment of credit risk is made by different models. The main goal is to find out whether a particular model is acceptable for risk assessment and which drawbacks can be formulated further.

The study is divided into two parts: the theoretical framework (including literature review) and the analysis of models. As a data source, the CIB (corporate investment business) block of the head office of the North-Western bank Sberbank was chosen.

Results present the comparative econometric analysis of models and conclude which one is more applicable.

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