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Abstract

Сontents

Introduction

Issues of improving banking and prioritizing development bank in the system are now at the center of economic, political and social life of the country. The banking system is the most important element of the national economy. Banks as credit intermediaries perform specific functions, consisting of the ability to generate cash flows and implement reallocation across sectors in the territorial and sectoral aspects. Implementing these functions, banks are designed to promote sustainable economic growth.

Banks are an integral part of modern monetary economy, their activities are closely linked to the needs of reproduction. Being in the center of economic life, serving the interests of producers, banks mediate communication between industry and trade, agriculture and population. Banks – not an attribute of a given region or one country, the scope of their activities has no geographical or national boundaries. They play an important role in maintaining the stability of the monetary system through close interaction with public authorities carry out their credit institutions controlling and regulating functions. Therefore, it is difficult to overestimate the importance of the stability of the banking system.

The banking system is one of the most important sectors of the economy. First, by providing services to businesses and individuals, banks contribute to the establishment of the gross national product; secondly, directing cash banks are a key element of the financial infrastructure of the economy; and thirdly, reacts to changes in economic conditions caused the actions of state authorities, banks are agents of stabilization of economic policy. Lending is that a banking service that brings the greatest amount of profit. Meanwhile, in the commission of the bank lending to high risk.

1. Topicality

Currently, for each commercial bank one of the urgent tasks is to survive in the global financial crisis. This largely depends on the quality and efficiency of decision-making strategically important top management of the bank. And if the manager takes into account only the current situation on the market without a forecast of possible fluctuations of various market factors, such a management policy will undoubtedly lead to bankruptcy and the crisis will only accelerate its onset.

Master’s thesis is devoted to the actual scientific development tasks buslovleno increased credit risk in all domestic and international commercial banks. However, despite the relevance of the topic, as well as a lot of work in this area, both domestic and foreign scientists, there is no single approach to the assessment of the credit risk of commercial bank. Lack of theoretical and methodological elaboration of the problem, increasing its relevance and practical significance determined the choice of direction of this study.

2. Research goals and objectives, expected results

The purpose of this study is to develop economic models of commercial bank credit policy, predicting the dynamics of lending among STATGRAPHICS.

Main tasks of the research:

  1. Analysis methods of information-analytical support credit policy of investment and borrowing a traditional bank to substantiate the possibility and prospect of modeling and forecasting in the medium STATGRAPHICS.
  2. Evaluation methods for reducing the level of credit risk of commercial bank.
  3. Finding and identifying characteristics of the existing methods for forecasting construction algoritmv credit policy of a commercial bank.
  4. Complete formulation of the problem of modeling, to develop an algorithm.
  5. Obtaining numerical solutions using the model in the appropriate application software package (STATGRAPHICS).

Research object: modeling environment STATGRAPHICS.

Research subject: modeling credit risk of commercial bank.

3. A review of research and development

Problem of credit activity in the domestic economic science has received considerable attention is devoted to this issue a lot of scientific papers. Among domestic economists who study the theoretical and practical aspects of financial institutions and credit relations with business entities, it should be noted Vitlinskogo V., A. lupus, A. Dooku, A. Zaruba, V. Kovalyuk, Krupko M., I. Dire, M. Savluk, Kuzmin, T. Smovzhenko and others. In the works of these authors consider questions of formation of the credit system and credit markets of Ukraine and examines new banking products, new types of loans and related banking technology, credit risk, defined a system of state regulation of credit services and the role of financial institutions at the present stage of economic development. However, the question of improving the efficiency of the lending activities of financial institutions based on the prediction of credit entities and relevant today.

4. Theoretical modeling framework of a commercial bank’s credit policy

Banking and banking services have long been the object of careful study in the theory of banking, but as a rule, by default it comes to those of banking services that are available to legal entities and that is called wholesale. The term retail banking entered the business turnover of not so long ago, still has no clear interpretation and therefore needed to clarify the content. The very process of the operation of financial capital necessitates the development of a specific market – retail banking as a segment of the banking market.

Qualitative and quantitative balance of inflow and outflow of funds lending capacity – an important factor in the policy of the bank’s liquidity. Figures above table allow an analysis of the equilibrium and thereby assess the risk of illiquidity because of urgent transformation means lending capacity. The simplest indicator of the degree of urgent transformation can serve percentage between the total value of short-term assets and short-term sources, between the value of long-term assets and long-term sources of funds of the bank’s lending capacity.

Banks, acting as manufacturer specific services for their activities in order to obtain their own income level are constantly expanding quantitative and qualitative characteristics. This may explain the allocation of a number of characteristics of standard banking products on which modern product line of commercial banks has a wide range of retail services. Characteristic features of retail banking services as follows: a pronounced focus on the personal satisfaction of social needs; consumers of retail banking services including the most vulnerable individuals and institutional; these services – a small and insignificant in terms of, as a result, have higher costs than in wholesale banking activities; on the degree of harmonization – is highly standardized products with similar rates and policies; they are distinguished by high mobility of clients; provision of these services requires a high level of automation and an active distribution. Of all the indicators of retail banking services in the most developed statistics issued consumer loans and there are several factors that affect them.

Retail banking services – services offered to the population to meet personal and family needs, which are not related to business and are based on standardized banking products. Among the factors influencing the development of retail banking, the author of the work called: economic situation, income level, social and demographic trends, development and implementation of information technology, socio-cultural factors, the maturity of legal regulation, banking infrastructure, the level of competition, the level of economic culture of the population.

Based on the dynamics of the relationship of individual factors, can assess the quality of the population of retail banking services. The order of the relationship factors may vary depending on the purpose of study and analysis. System factors can be used to evaluate the performance of banks. Effective feature in a market economy the most justifiably take the cost of bank credit (both for the population and for the bank, ie the formation of the market price of credit).

To determine the factors affecting the supply and demand balance in the future on the credit market, we use the methodology and value changes in the dynamics of indicators, ie socioeconomic normal demand for loans.

After the analysis of socio-economic patterns, we can conclude that the uneven but steady income growth is not directly related with the number of credits and the reduction of the refinancing rate. Thus, the thesis of the socio-economic to the normal demand for loans, namely the impact of income, today it is not the main reasons and reserve growth in the number of lending activities lie in the field of customer-oriented management strategies and reduce transaction costs in bank credit institutions.

That increase in demand for banking products, according to the applicant, is a major factor in the development of the retail market for banking products and services, the impetus for the rapid development of innovative activities of credit organizations whose purpose is to develop new products and financial services for individuals, improving the qualitative component is already popular products. Design and development of banking services that will bring credit institutions stable fee income, practically does not depend on the macroeconomic situation in the financial markets – the most competitive sphere, for which in the near future will be competing commercial banks, claiming top position in retail banking.

Credit policy assessment model designed to answer the question, what kind of credits necessary to develop and improve: Individuals or entities based on past experience and projections for the future.

Development of a predictive model of commercial bank lending

Prediction – an assessment of the future based on a thorough analysis of trends in the development of socio-economic phenomena and their interrelationships. The forecasting process involves identifying possible alternatives for development in the long term for the sound of their choice and make an optimal decision.

Prediction is based on the use of a wide range of information. But the initial phase of economic forecasting is always associated with the analysis of time series, which allows to characterize the pattern of change of the phenomenon over time.

For short-term forecasting in loans granted by commercial banks to individuals and legal entities should be analyzed monthly dynamics of this indicator for an extended period.

Forecast encouraged to implement using application software package STATGRAPHICS, using ARIMA model with autoregressive function.

Forecasting with a large value of the time window is more accurate because forecasting using ARIMA models performed by analyzing the information contained in the history of the time series, and the more time window, the greater the amount of information available to perform the analysis and construction quality of the forecast.

Consider in more detail the methods of analysis of time series lending to legal entities.

Graphical display of intermediate processes forecasting STATGRAPHICS

Figure 3 - Graphical display of intermediate processes forecasting STATGRAPHICS
(animation: 7 frames, 5 cycles of repetition, 60.5 kilobytes)

Judging from the analysis and simulation technology of the credit policy of investment and borrowing for credit institutions in the study applied the methodology of simulation. Implemented approach is based on the following principles: a forecast of distributed loans granted by commercial banks; capacity utilization environment STATGRAPHICS to represent the dynamics of changes in the basic parameters of econometric models.

Simulation modeling involves the construction of a set of interrelated quantitative diagrams that allows simultaneous modeling system for the qualitative and quantitative level and reduces the time spent on the choice of enterprise development strategies.

Conclusion

The work is necessary to investigate the dynamics simulation of the loans by the credit institution is shown on the basis of three hypotheses development of credit strategy and changes in loan portfolio quality, cost-effectiveness and equity of the bank under the influence of external and internal circumstances.

The situation in the commercial bank is considered under the influence of a number of external and internal circumstances. We call these hypotheses, respectively, luck, normal control, good luck.

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