Model for forming of optimal credit portfolio of commercial bank
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Дата
2019
DOI
Науковий ступінь
Рівень дисертації
Шифр та назва спеціальності
Рада захисту
Установа захисту
Науковий керівник
Члени комітету
Видавець
Allied Business Academies
Анотація
A methodological approach to the optimization of a commercial bank's credit portfolio is proposed based on Markowitz economic and mathematical optimization model. The economic and mathematical model has been formed, relating to optimization of the bank's credit portfolio based on balancing the factors of maximum profitability and given level of credit risk. A methodical approach was formed to form a credit portfolio by types of credit services and the level of profitability of each of them in the total amount of credits granted. © 2019 Allied Business Academies.
Опис
Ключові слова
commercial bank, covariation, credit portfolio, markowitz model
Бібліографічний опис
Model for forming of optimal credit portfolio of commercial bank / S. Drobyazko, O . Bondarevska, D. Klymenko, S. Pletenetska, O.Pylypenko // Journal of Management Information and Decision Sciences. - 2019. - Volume 22, Issue 4. - Pp. 501-506