Russian Financial Health: 33° above zero

Moscow, December 11, 2017 — Business Systems Consult. BSC starts to publish a new index of financial health of Russian consumer borrrowers. Historical values of it are shown in the figure. This index characterises macroeconomic environment and the volume of past due loans as a result of macroeconomic conditions. The lower values correspond to greater propensity to past due, the greater values—to lower frequency of the credit events in this market.

The index combines several macroeconomic indices (published in open sources, eg State Statistic Service) such as oil price. All these indices are relevant for the forecasting of retail borrowers' behaviour. Their list is selected as a result of a macroeconomic and econometrical research project conducted in BSC.

Index forecast is provided upon request.

Financial planning, credit allowance forecast, IFRS 9 allowance calculation, budgeting are based on the estimations of macroeconomic characteristics. The dependencies of evolution of credit quality in loan portfolios are the technological core of portfolio management, credit provision forecasting and calculation. Implementation of such models significantly improves bank's business efficiency. However, in credit modeling of loan portfolios one should distinguish several interrelated effects: natural portfolio maturation, past due amounts as a result of macroeconomic environment, past due amounts as a result of initial credit quality of loans at the moment of their inception.In addition, prepayment forecasting is an important issue in quantatative liquidity assessment. Technologies for solving these problems are described at our site.

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Опубликовано 11 Dec 2017 Author Magister ludi

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