Modeling of the Credit Process in a Private Second-Tier Bank

Abstract

In this article we propose a simulation model of the crediting research process in terms of private bank of the second level. The purpose of the simulation is to predict credit risk. The lending process is seen as a system composition of the statistical nature of the events at the annual slot bank. As a mathematical apparatus and simulation method mathematical statistics and simulation were used. Simulated process is viewed as a progression of random events with a week time lag revealed experimentally. The random events are: the number of loans for the week interval, size of loan, loan repayment in the contractual terms and with the excess of contractual terms, non-performing loans and penalties. As a result of simulation studies in the general stream of clients three stable groups with typical credit histories were revealed. The simulation modeling allows to adapt the credit policy of the Bank to specific regional socioeconomic conditions.