Имитационное моделирование процесса выдачи кредита в региональном коммерческом банке

Цифровая экономика. 2022. № 2(18). С. 72–81.

Ramenskaya A., Яркова О. Н.

To form a strategy for managing the lending process and credit risk, analysts of a credit organization need to have tools for modeling the lending process, which allows not only to assess the effectiveness of the lending process in the current situation, but also to assess risks in a changing economic environment. The purpose of this study is to develop and test a simulation model of the process of issuing a loan to retail bank customers, which makes it possible to evaluate overdue debts in dynamics, to model the organization's credit risks. The paper proposes a simulation model of the process of issuing loans in a regional commercial bank, using the concepts of discrete-event and agent-based modeling in the AnyLogic environment. The simulation model of the process of issuing loans makes it possible to evaluate the following indicators: the number of received and approved applications, the number of new bank customers, the dynamics of the amount of loans issued and the amount of overdue debt, the share of overdue debt for various values of the parameters of the loan portfolio. The model was tested on data on consumer lending in a regional commercial bank in Orenburg: calculations were made for the basic scenario of loan portfolio management; analysis of the sensitivity of the key indicators of the loan portfolio to changes in the external and internal environment was carried out. 

Keywords: имитационное моделирование, оценка рисков, коммерческий банк, simulation modeling, дискретно-событийное моделирование, агентное моделирование, commercial banks, Agent modeling, risc management