Defining the probability of bank debtors’ default using financial solvency assessment models
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Дата
2018
Автори
Kuznichenko, Yana
Dykha, Mariia V.
Pavlova, Natalia
Frolov, Serhiy
Hryhorash, Olha
Назва журналу
Номер ISSN
Назва тому
Видавець
LLC “Consulting Publishing Company “Business Perspectives”
Анотація
Due implementation of debtors’ financial solvency assessment models by Ukrainian
banks with the aim of calculating the probability of their default (PD) is the next step
towards the integration of Ukrainian banking system into global banking community,
convergence of methodical approaches to assessing the credit risk with standards of international
practice, possibility of using IRB-approach (an approach based on internal
ratings) for calculating the regulatory requirements to capital adequacy.
The analysis of approaches to bank credit portfolio segmentation according to types
of debtors and debtors’ financial solvency assessment models, depending on the performed
segmentation and accumulated bank statistical data, from the point of view
of its suitability for Ukrainian banks, will enable the banks to choose the most suitable
ones for implementation taking into account nature and complexity of operations
performed.
Such approaches will be more adapted to minimum capital requirements, simultaneously
agreeing with national supervisory priorities.
Опис
Ключові слова
credit portfolio segmentation, probability of default (PD), heuristic, statistical, causal financial solvency assessment models
Бібліографічний опис
Defining the probability of bank debtors’ default using financial solvency assessment models / Yana Kuznichenko, Mariia V. Dykha, Natalia Pavlova, Serhiy Frolov, Olha Hryhorash // Banks and Bank Systems. – 2018. – Vol. 13, Iss. 2. – P. 1–11. (doi:10.21511/bbs.13(2).2018.01)