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The Improvement of the Methodology for Risk Assessing of a Bank`s Loan Portfolio

Student: Fadeeva Daria

Supervisor: Svetlana Y. Khasyanova

Faculty: Faculty of Economics

Educational Programme: Finance (Master)

Year of Graduation: 2020

The purpose of the study is to improve the model for assessing the risk of a bank's loan portfolio using macroeconomic indicators and conducting stress testing of the resulting model. In the framework of the study, the concepts of credit risk and the quality of the bank's loan portfolio were studied. Also analyzed are the financial indicators of a credit institution that affect the quality of the loan portfolio. In the study, an indicator of the quality of the loan portfolio is defined as the share of overdue debt in the loan portfolio. The main internal indicators of the bank that affect the share of overdue debt in the portfolio are identified, and macroeconomic indicators are highlighted. A model has been built to estimate the share of overdue debt in a credit institution based on the proposed indicators. Stress testing was carried out using the obtained model to assess the quality of banks' loan portfolios in the face of worsening macroeconomic indicators. As a result, data were obtained confirming a decrease in the quality of the banks' loan portfolio while macroeconomic indicators worsened.

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