Управување со кредитен ризик согласно капиталната спогодба Базел II – економетриски пристап

Abstract

This paper presents an empirical survey of the overall process and all aspects of credit risk management, which is a very challenging issue even in the modern banking, with special emphasis on the credit exposures for individuals in the Republic of Macedonia, whereas through the overall research, presentation is done in parallel and comparing the most recent and most important regulations in this area, namely the Basel II and Basel III Capital Accord and the Principles of the Basel Committee for Banking Supervision, as well as the regulations of the European Central Bank (ECB) and the European Banking Authority (EBA), and the regulations of the National Bank of the Republic of Macedonia (NBRM). The goals of the paper are introduction, analysis and measurement of the general concepts related to credit risk management, including the types and classification of credit exposures, principles for credit risk management, credit risk assessment, measurement and modeling through quantitative models for credit scoring, policies for monitoring, collection and management of non-performing portfolios (including loan restructuring, write-offs and sale of credit exposures), through comparative analysis of the trends of the data concerning the banks in the Republic of Macedonia. The essence of this research is the comprehensive presentation and quantitative analysis of the concepts of credit exposures, credit risk and modeling and management of credit risk for the period from 2004 to 2017, through comparative analyzes with the Balkan countries and EU member states. The advanced quantitative, econometric and statistical approaches in the modeling and management of credit risk are presented, through the development and implementation of a credit scoring model based on real data obtained on the basis of a questionnaire.