Analysis of financial stability of credit and investment activities of a commercial bank based at a parametric model of the optimal banking portfolio

The article presents the well-known and new results of the authors on the topic of parametric modeling of the banking portfolio, taking into account unregulated (macroeconomic parameters of the external environment) and controlled (set by the bank) parameters that affect (first) and determine (second) its structure and composition, as well as indicators of financial stability and reliability. The author's version of the parametric model and its modification are presented, taking into account the restrictions on the capital reserve and the return on assets that affect the reliability of the bank's lending and investment activities, which were not taken into account in the original version. The object of application of the model and its modified version in conditions of high heterogeneity of banking organizations in terms of the size of capital, areas of its application, forms of ownership and institutional mechanisms for regulating lending activities has been clarified. A special place in the work is given to the problem of choosing a strategy for the bank's lending and investment activities, taking into account a combination of factors that determine its financial stability and reliability, which are not identical categories. In this regard, the criteria of financial stability and approaches to assessing the reliability of a banking organization are considered separately. These approaches generally correspond to those adopted in the CAMELS methodology, however, the authors substantiate the choice of specific reliability indicators that do not contradict and correspond to the established Russian banking practice. In the final part of the article, the calculations of key indicators of the optimal loan and investment portfolio of the selected commercial bank are carried out, taking into account the specific values of exogenous factors set by the regulator. Conclusions are made about the influence of external factors on the parameters of the portfolio and the possibility of their damping based on estimates obtained using the parametric approach.