Improvement of the parametric model of the banking portfolio taking into account reliability indicators

The article presents the results of research by the team of authors in terms of the analysis of shortcomings and modifications, taking into account them, the previously published model of parametric optimization of the loan and investment portfolio of a universal commercial bank of medium-sized capital. The initial model with the criterion of financial stability of the portfolio of deposits and loans is fully adequate to the conditions of the banking organization in the conditions of turbulent financial markets. However, its significant drawback is the incomplete accounting in the structure and composition of the portfolio of requirements for the limit values of reliability indicators, which limits the scope of its application. In order to eliminate these and other shortcomings of the original model, the paper presents its modification, which takes into account the restrictions on the limiting values of capital adequacy and profitability ratios of operating assets, borrowed from the standards that are part of the CAMELS methodology. For empirical calculations using a modified parametric model, the frequently mentioned second-tier Russian commercial banks were selected. The basis of calculations for the modified model was formed by official data on their loan and deposit portfolios. The calculations showed the correctness of the proposed approach and the improvement of the properties of the parametric model by adding restrictions on the bank’s reliability.