The article discusses specific aspects of commercial lending commercial bank credit risk management. The main components of the IRB approach and the methodology of constructing models probability of default estimate of the borrower, based on a Bayesian approach, with respect to corporate lending. Proposed rating model estimates the probability of default on the basis of empirical data, based on a probabilistic approach, and Bayesian classifier, allowing to increase the accuracy and reliability of the assessment of the credit risk.
Translated title of the contributionRATING MODEL OF CORPORATE COMMERCIAL BANK CUSTOMERS CREDIT RISK ASSESSMENT BASED ON PROBABILISTIC APPROACH
Original languageRussian
Pages (from-to)93-96
Number of pages4
JournalАудит и финансовый анализ
Issue number5
Publication statusPublished - 2013

    Level of Research Output

  • VAK List

    GRNTI

  • 06.00.00 ECONOMY AND ECONOMIC SCIENCES

ID: 7216752