THE METHODICAL FRAMEWORK OF THE DEVELOPMENT OF ADEQUATE MODEL OF ESTIMATION OF CREDIT RISK OF THE BANK

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Iryna D’yakonova ORCID logo, Yevgeniya Mordan ORCID logo, Kateryna Sokolenko ORCID logo

https://doi.org/10.22495/cocv13i1c7p4

Abstract

It was considered the modern methods of assessment of credit risk which are used by the foreign banks, in particular, their essence, advantages and disadvantages were discovered in this article. It was proposed and characterized the criteria of judgmental estimate adequacy of the models intended for analysis and forecast of borrower creditworthiness assessment, in particular such criteria as general accuracy of the model, the errors of 1st and 2nd kind, ROC – curve and GINI index.

Keywords: Bank, Credit Risk, Borrower Creditworthiness, Borrower Creditworthiness Assessment, Criteria Of The Models Adequacy Assessment

How to cite this paper: D’yakonova, I., Mordan, Y., Sokolenko, K. (2015). The methodical framework of the development of adequate model of estimation of credit risk of the bank. Corporate Ownership & Control, 13(1-7), 769-773. https://doi.org/10.22495/cocv13i1c7p4