Mechanism and Model for Decision-Making in Credit Risk Management
- 10.2991/ahcs.k.191206.007How to use a DOI?
- credit risks, credit risk management, credit portfolio optimization, credit policy decision-making
The article deals with the problem of risk reduction of the banks’ credit portfolio. The new mechanism for credit portfolio quality management is proposed, featuring a combination of quantitative and qualitative criteria for assessing the credit portfolio quality and its monitoring. This mechanism supports decision-making on approving or rejecting a credit application in accordance with the permissible risk factors values. The model for optimization of the credit portfolio structure is developed. It provides an optimal ratio of long-term and short-term credits and ensures the maximum of the credit portfolio profitability under various credit policies.
- © 2019, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Ekaterina V. Orlova PY - 2019 DA - 2019/12/12 TI - Mechanism and Model for Decision-Making in Credit Risk Management BT - Proceedings of the Fourth Workshop on Computer Modelling in Decision Making (CMDM 2019) PB - Atlantis Press SP - 38 EP - 43 SN - 2589-4900 UR - https://doi.org/10.2991/ahcs.k.191206.007 DO - 10.2991/ahcs.k.191206.007 ID - Orlova2019 ER -