Effectiveness of bank credit activity evaluation with application of economic and mathematic modeling

Abstract

Abstract. The paper presents data on the influence of the most significant factors having impact on the credit portfolio volume, as well as conducts correlation and regression analysis with the subsequent construction of the trend for a short period. Credit activity is understood as the bank activity in the formation of a credit portfolio. Considering the structure of the bank credit portfolio, it can be observed that it consists of credits granted by the bank particularly for legal entities, individuals and other banks. Herewith, it is necessary to understand that any decrease in the credit portfolio will adversely affect the financial stability and effectiveness of any commercial bank. Moreover, during crisis periods, the policy and practice of banks have been determined as quite aggressive and conducted as such with regard to interest rates. The dynamics of credit portfolio volume has been selected as an independent factor due to the reason that it can fully explain the current development situation and the effectiveness of the bank credit policy. Considering the dependent factors, their influence will be assessed by the credit portfolio volume indicator. The authors have distinguished the following ones among them: the volume of credits granted to individuals; the volume of credits granted to legal entities; the amount of overdue credits in the credit portfolio; bank investments in the securities; inflation; key rate. IntroductionThese days, it is necessary to apply the economic and mathematic method of multiple correlationregression analysis for identification of relationship between the credit portfolio volume and the factors affecting this indicator. The model development required involvement of the data for the period of 2012-2016 from the publicly available information sources of Russian statistical organizations and analytical groups. In order to determine the dependence of the volume of the credit portfolio on various performance indicators of the bank, it is necessary to build a regression model and analyze the quality of these models. For calculation of the paired correlation coefficients matrix, let us use the "Correlation" program of the MicrosoftExcel "Data Analysis" menu.Then, using the Regression program of the MicrosoftExcel Data Analysis Add-in menu, let us get the data and regression analysis coefficients. The results of the analysis and calculations of regression statistics are summarized in Table 2.The data obtained allow one to assess primarily the reliability of the model on the basis of coefficient analysis, and also to assess the influence of each factor of the model for the immediate forecasting of each factor, respectively, and then to forecast the volume of the credit portfolio itself.