Theoretical approaches and methods for risk assessment of credit and investment activities of a commercial bank

The article discusses traditional (based on the recommendations of the Bank of Russia and the Basel Committee on Banking Supervision) and original (including the author’s) approaches to localization and subsequent assessment of the most significant risks of lending and investment activities of Russian commercial banks, guided by the choice of a loan portfolio compliance with risk standards recommended by Russian and international regulators. The considered methods are focused on assessing the risks of lending and investment activities of a banking organization from the standpoint of their influence on the main indicators: profitability, quality of working assets, stability (understood as maintaining the portfolio structure in the context of macroeconomic instability of the credit market) and reliability of the financial and economic basis, which is the potential for collateral liquidity of the bank in conditions of a possible imbalance in the temporary structure of the portfolio of deposits and loans. Taking into account the listed factors in the risk assessments of the bank’s credit and investment activities will significantly increase their accuracy and correctness of decisions taken with regard to the management of the bank’s credit and financial portfolios. When choosing methods for assessing risk, the authors paid special attention to their possible mathematical formalization, which makes it possible to promptly take into account risk restrictions in models of credit and investment activities, which, in turn, will improve the accuracy of estimates and the quality of banking portfolio management.