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ИД «Финансы и кредит»






Finance and Credit

Credit risk: topical issues of modeling

Vol. 21, Iss. 7, FEBRUARY 2015

PDF  Article PDF Version

Available online: 9 February 2015

Subject Heading: CREDIT RISKS

JEL Classification: 

Pages: 45-53

Vasil'eva E.E. Perm National Research Polytechnic University, Perm, Russian Federation

The paper attempts to formalize the economic category of credit risk by building the uniquely designed logical structure of this concept on the basis of its constituent components and the relationships between them. To achieve the goal, the author identifies the currently existing differences in theoretical approaches to the definition of the risk concept, i.e. understanding risk as an event, operations or performance results of operations, business environment or tool for management decisions. The author has studied formally adopted interpretations of basic terms of risk management. Based on the integrated use of institutional and hierarchical approaches, the author discloses the main idea of the concept of credit risk; meanwhile, the institutional approach enables to determine the content of the concept, and the hierarchical approach - to describe its place in the overall system of economic risks. The analysis makes it possible to identify the following components of the logical structure of the credit risk category: subjects, object, event and consequences; to characterize each of the said components; to describe the relationship between them. The characteristics of the subject-object composition of the logical structure of credit risk determine its subjective and objective elements. Consideration of an event and consequences, as well as their correlation with the previously discussed components determines the existence of two types of connections between the components: reliable and probabilistic. The existence of probabilistic connections in the credit risk structure between the object on the one hand, and the event and consequences on the other hand, provides the possibility of credit risk management. The presented author's concept of the logical structure of credit risk enables to formalize the credit risk concept based on modern economic approaches and creates new possibilities of mathematical modeling for credit risk assessment.

Keywords: risk, management, credit risk, components, logical structure


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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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