Analysis and evaluation of the financial stability of a commercial bank on the basis of a parametric model of a bank portfolio

The article presents the author’s concept of the concepts “reliability of the financial and economic basis” and “financial stability” of a commercial bank, clarifies the problem statement and a mathematical model for assessing the stability of the bank’s lending and investment activities in a parametric form, developed by the authors earlier, the results of calculating the portfolio stability interval for the selected bank. The difference between the concepts of reliability and sustainability is substantiated, which consists in the fact that the first characterizes the ability of a credit institution in a non-crisis macroeconomic environment to fulfill its client obligations in full and within the agreed time frame, and the second characterizes the stability of the structure of the loan and investment portfolio and its profitability when values change. exogenous and endogenous parameters of the bank’s activity. Nevertheless, these characteristics of the banking portfolio turn out to be closely related, which predetermined the need to modernize the parametric model of the bank previously developed by the authors on the basis of expanding the system of restrictions by adding thresholds to some of the variables of the credit risk group and capital adequacy. For empirical calculations using a parametric model, a second-tier commercial bank was selected. In order to analyze the financial stability of the bank, the concept of parametric modeling of the optimal bank portfolio of deposits and loans was used. The basis for calculations was the official data of the loan and deposit portfolio of the selected banking organization. The calculations showed the correctness of the proposed approach, demonstrated the relevance of the model application in the practice of a modern Russian bank.