Optimization of the sub-portfolio structure of the mortgage loans of a commercial bank based at a minimax risk assessment

The article discusses a new method for assessing the risk of borrowers under the mortgage lending program who have additional income within their own business (services provided). This method is implemented using the minimax criterion and a systematic analysis of the borrower’s risk indicators characterizing the growth potential of his business and calculated on the basis of information posted on the website. It is proposed to calculate the structure of the optimal sub-portfolio of mortgage loans using hierarchical tree-like algorithms with the choice of lending volumes for individual regional (territorial) branches of the bank (at the upper level) and the shares of mortgage loans of individual borrowers, taking into account risk (at the lower level). A method for calculating the integral indicator of credit risk for a mortgage based on the results of processing particular indicators of the decision tree has been developed. The Russian mortgage loan markets were surveyed in two regions within the framework of the Sberbank sub-portfolio, the prospects for the implementation of the proposed methodology were identified, and the key indicators of the loan portfolio were identified from the standpoint of the borrower’s reliability. A comprehensive assessment of the capital structure of a sub-portfolio of a mortgage loan of a commercial bank is obtained, based on a minimax approach to risk assessment (or an integral indicator). As applied to the classical portfolio theory, the yield criterion can be applied as a parameter for correcting the borrower’s risk level according to one of the proposed risk criteria.