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Importance This research outlines an economic and mathematical model of the overdue loan debt. The model is based on copula functions allowing to simulate a non-Gaussian distribution of financial risks and credit risk, in particular.Objectives The research models a joint distribution of overdue debt series in order to forecast the credit risk exposure. Relying upon the forecast, we intend to evaluate the efficiency of methods used to make provisions for possible losses and subsequently determine a reasonable approach to accruing the provision. Methods We examine whether hierarchical copula models can be applied to build the joint distribution of overdue loan debt series in relation to banking institutions. It is considered as the basis for making further estimates of the overdue loan debt. Results We build and evaluate a multivariate copula model of overdue loan debt with the hierarchical structure.

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Regulation of banking risks by the state is due to the specifics of banking, associated with the transformation of deposits into loans and multiform negative effects that banking risks bear to the national economy. Since the late 1980s, the international practice of assessment and management of banking risks began to be reflected in the documents of the Basel Committee on Banking Supervision. In this paper we consider the evolution of Basel standards from Basel I to Basel III, and discuss substantial features of each generation of the standards. To date, a considerable number of countries, including Russia, have joined Basel standards. The paper discusses the features of regulation of banking risks in Russia, as well as the problems faced by commercial banks and the regulator in the implementation of Basel standards in the Russian banking sector.