Optimization of the branch structure of bank's loan portfolio1

Abstract

The article describes the technique of optimizing the structure of the bank's loan portfolio based on the industry risk indicators of bankruptcy, financial stability and profitability proposed by the authors. The Monte Carlo method was applied to predict the amount of the overdue debt in terms of the formed portfolio. Approbation of the technique was made on Sberbank's loan portfolio. Application of the technique will improve the quality of the loan portfolio, reduce the amount of the overdue debt which in turn will have a positive impact on the liquidity, earnings and profitability of banks. © 2012 IFAC.