Issue 1, 2008

Pustovalova T. A., Kutuyev R. R. The Problems of Management of the Credit Risk of the Commercial Bank Portfolio

The article is dedicated to the analysis of main approaches and tendencies (directions) of evaluation and credit risk prediction of the commercial bank credit portfolio. The authors analyses both traditional principles and new (progressive) credit risk valuation methods. Practical realization of one of the modern (progressive) methods, namely, practical realization of ideas put in Credit Metrics method is particular interesting. In research statistics according credit portfolio of the multidivisional Russian commercial bank were used. The article introduces only part of results obtained in the course of research In the conclusion the main directions of the further research are defined.

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