The Analysis and Assessment of Credit Risk of Commercial Bank Using the Methods of Economic-Mathematical Modeling and Mathcad and Excel Programs

Abstract

The focus of this paper is on the analysis and assessment of loan portfolio risk of commercial bank using the methods of economic-mathematical modeling. There are two approaches to management of credit risk which considered in this article from a position of the centralized management (following regulations established by CBRF) and also the approach of the decentralized management connected with development of models and methods of assessment of the loan portfolio quality based on expert judgements. The analysis is approved by financial reporting information of real credit organization and Mathcad software products (the automated programming with mathematical calculations) and Microsoft Excel (spreadsheets). Especially considered that cases when you need to consider a large number of factors which have different influence on your decision-making. Keywords: sufficient bank capital, dispersion and seven-variation of portfolio credit, portfolio credit quality, credit risk, modelling and Mathcad and Microsoft Excel software products, standards CBRF, centralized and decentralized management.