МЕТОДИЧНИЙ ПІДХІД ДО ОЦІНКИ КРЕДИТНИХ РИЗИКІВ НА ОСНОВІ СТРЕС-ТЕСТУВАННЯ
THE METHODICAL APPROACH TO ESTIMATION OF CREDIT RISKS ON THE BASIS OF STRESS TESTING

Summary/Abstract: The methodical approach to an assessment of credit risk is formalized in the article based on integration of quantitative and qualitative criteria, which are estimated on a ball-scale, from a statics and dynamics positions. The scenarios of stress testing of a credit portfolio are defined by the authors, allowing to estimate adequacy of management of a credit portfolio and to define sufficiency of reserves for possible losses compensation

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