Kosova T.V.Stavropol State Agrarian University, Stavropol, Stavropol Krai, Russian Federation kosta157@mail.ru
Importance Considering crisis phenomena in the global economy, it is very relevant for any leasing company to determine the homogeneity of its portfolio, and segment its lessees. When forming lease portfolios, leasing companies should bear in mind how credit and market risks correlate against the compounding effect. The article discusses issues of making homogeneous sub-portfolios, overviews the existing methods and proposes a model for managing risks of the lease portfolio in line with co-variation in default probabilities. Objectives We analyze how the concentration risk influences risks of the lease portfolio, devise a segmented portfolio model and determine an algorithm for the risk manager of the leasing company. Methods Using mathematical methods and transformations, we evaluated the homogeneity of the lease portfolio and forged a model to manage the lease portfolio risks in line with default probabilities. Results We reviewed the model for making an optimal lease portfolio to create homogeneous sub-portfolios in line with the index reflecting how defaults concentrate and correlate with credits of other segments. Conclusions and Relevance Under macroeconomic instability, if the portfolio homogeneity and segmenting of lessees are evaluated, it will allow forming such a portfolio with the lowest risk exposure. The research refers to a broad audience of economists, specialists of financial and credit institutions, risk managers and analysts.
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