Vinogradskaya E. Modeling of processes of strategic planning of bank's credit portfolio

Object of research: processes of the strategic planning of credit brief-case of bank. Purpose of research: development of complex of models and methods of the strategic planning of credit brief-case of bank which provides optimization of credit brief-case on the indexes of profitability and risk. Methods of research: approaches of the systems and структурно-функциональный, method of classification, method of analysis of the systems, method of expert estimations and cluster analysis of great numbers, method of analysis of hierarchies and theory of fuzzy sets, methods of economical and mathematical design and system dynamics. Results: the analysis of modern terms of development and functioning of the banking system of Ukraine is conducted; an analysis and systematization of going is conducted near the economical and mathematical design of activity of banks as credit organizations; conception of design of processes of the strategic planning of credit brief-case of bank is developed; the model of classification of credit requests, which is based on the use of method of cluster analysis, is offered; the method of estimation of solvency of borrower is offered on the basis of the use of unclear models; the simulation model of diversification of credit brief-case of bank is developed; realization of the developed models and methods of the strategic planning of credit brief-case of bank is conducted and the estimation of their efficiency is carried out; the structure of the system of informative support of processes of the strategic planning of credit brief-case of bank is offered. Novelty: first: conception of design of processes of the strategic planning of credit brief-case is developed a jar which is based on the design of the stages of the strategic planning and realization of principles of realization of credit activity providing the increase of profitability and decline of risk of the combined credit brief-case due to the use of formal procedures of planning of credit activity; the simulation model of diversification of credit brief-case is developed a jar which is based on the use of methods of system dynamics and scenario approach allowing depending on select credit strategy to estimate quantitative and high-quality development of credit operations and choose the most effective direction of crediting; improved: method of estimation of solvency of borrower of bank which is based on the synthesis of method of analysis of hierarchies and theory of fuzzy sets, allowing избегнуть subjectivities in the process of making a decision in relation to the extension of credit and the same to promote flexibility of the traditional going near the analysis of potential borrowers; the system of informative support of processes of the strategic planning of credit brief-case is a jar the use of which allows to prevent unjustified from point of risk of дефолта credit investments due to the increase of validity and operationability of decisions about expedience of allotting a credit; got further development: model of classification of credit requests, which are examined in the process of credit portfolio construction a jar, based on the use of method of cluster analysis, allowing to carry out the previous analysis of great number of single-element classes of borrowers with the purpose of diminishing of dimension of task of estimation of their solvency. Field of the use: of particular a branch.