Dynamic risk assessment and development of the banking activity against risk strategies

• Дата: 2021
• Автори: Кузнєцова, Н. В., Чан, Ф. А., Самсонюк, М. В., Юрчук, М. В.
• Формат: Стаття
• Мова: Ukrainian
• Опубліковано: Інститут проблем реєстрації інформації НАН України 2021
• Теми: банківські ризики; індекс ризику; ступінь ризику; логістична регресія; випадковий ліс; XGBoost; моделі виживання; bank risks; risk index; risk degree; logistic regression; random forest; survival models
• Онлайн доступ: http://drsp.ipri.kiev.ua/article/view/235111
• Назва журналу: Data Recording, Storage & Processing

The development of a unified approach to dynamic risk assessment and possible bank losses forecasting is performed. A methodology has been proposed that involves performing the basic steps for input data and empirical analysis as well as the probability estimating and the expected losses forecasting associated with the possible customers outflow. Two approaches to estimating risks losses are proposed: based on the lost balance sheet and through mathematical sharing of losses, weighted by the probability of the customer outflow risk. In the paper, a risk index and assessment of the client «weight» (contribution) to the total bank balance sheet were introduced and proposed. They allowed determine the allowable, critical and catastrophic risk levels and degrees. A study of the customer outflow period using survival mo-dels was made. The mathematical models for the probability estimating and losses prediction based on the method of support vector machines, gradient boosting XGBoost, random forest, logistic regression, naive Bayesian classifier were developed. Logistic regression and naïve Bayesian classified were defined as the best models for prediction probability and evaluation of the possible losses. They allowed obtain high predictive estimates of accuracy and of possible losses prediction quality for both approaches to estimating losses. The logistic regression scores were also used for defining the risk index and contribution in total bank risk for each client. Guided against risk strategies and recommendations for the bank were proposed. They allow adjust the strategy of banks development taking into account the identified and assessed risk levels. Tabl.: 5. Fig.: 4. Refs: 14 titles.