A simple approach to explicit estimating a credit limit for a firm that is based on Moody's KMV model is developed. It allows taking into account term to maturity of loan, quality of assets, a structure of a balance sheet and required level of default probability. The proposed approach describes...

In this paper, to estimate a credit risk spread the interest losses are proposed to recognize immediately after default of a loan, i.e. to stop accrual of interests on defaulted loan. While a common approach supposes the recognition of interest losses on the defaulted loan only at maturity and,...

An empiric data about behavior of actual provisions ratio under a rapid growth of the Ukrainian banking system that occurred before January 1, 2008 is analyzed. It is given the results for dynamics of provisions that calculated by the dynamic model and propositions directed towards improving...

The features of credit risk management under rapid growth of a bank are investigated. The growth rate of loan portfolio is shown to be needed to take into account for effective credit risk management. It is developed a dynamic model of provisioning for impairment of loans. The proposed model...

In the paper, different approaches to pricing on loan are compared. “Cash Flow at Risk” approach to loan pricing is suggested. Application of this approach ministers to protect a bank against both credit and liquidity risks, and to receive by it interest income with interest rate that is not...

This paper explores the processes of provisioning a bank's allowance for credit losses from the point of statistics and insurance. It is shown the similarity of protection against credit risk by banks and insured risk by insurance companies. It is shown that the banking protection against credit...

In the paper, authors compare Bayesian approaches to the calibration of default probability curves: a) a standard approach based on the use of logarithm of odds, b) a modified approach based on the use of logarithm of odds ratio which explicitly includes the prior probability of default in the...