Kyshakevych B. Economic and mathematical modeling of bank credit risk

Dissertation is devoted to development of economic and mathematic models of economic capital calculation, credit risk concentration, optimization of credit portfolio and evaluation of the main credit risk parameters such as probability of default and loss given default. Models of creditworthiness and probability of default evaluation were created. They allow banks to estimate probability of default and credit rating of borrower on the base of national rating scale. Methodology of economic capital estimation by means of Monte-Carlo simulation, models of reduced forms and wandering defaults was offered. New credit risk concentration measures were created as well as modifications of Herfindahl-Hirschman Index (HHI). They take into account not only share of loans but credit rating of borrowers. New approach for calculation of credit risk concentration based on the usage of homogenous risk measures such as standard deviation, VaR, CVaR was offered. The concept of credit risk factor concentration was proponed. It is based on calculation of the contribution of the systematic factor into portfolio credit risk.