Mechanism and Model for Decision-Making in Credit Risk Management

DOI

10.2991/ahcs.k.191206.007How to use a DOI?

Keywords

credit risks, credit risk management, credit portfolio optimization, credit policy decision-making

Abstract

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.

Copyright

© 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/).

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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  -