MODELING THE PROFITABILITY OF LOAN OPERATIONS CORPORATE CLIENTS

Abstract

The article is devoted to the optimization of the bank's operating activities on the basis of mathematical modeling of the assessment of the future profitability of corporate clients in the implementation of credit transactions in order to increase the efficiency of decisions taken in the implementation of transactions that carry credit risk. The modeling is based on the use of the forecasted rate of return on risk-weighted assets -- PRoRWA (predicted RoRWA) -- the predicted value of the RoRWA indicator for the client for the next "rolling year" taking into account the assessment of the profitability of a new potential credit transaction. The modeling process takes into account the assessment of the total profitability of the client for the bank, including income from cross-sales -- the additional income of the bank in the implementation of a particular transaction. The proposed model was tested at one of the divisions of a commercial bank. The simulation results are recommended for use in pricing in the process of setting the limit values of the marginality of transactions for corporate clients, in assessing the level of risks assumed by the bank in the implementation of new credit transactions, as well as in the analysis of alternative options for increasing the profitability of the bank's equity capital.