АКТУАЛЬНЫЕ ПРОБЛЕМЫ АЛЬТЕРНАТИВНОЙ ОЦЕНКИ КРЕДИТНЫХ УБЫТКОВ КОММЕРЧЕСКИХ БАНКОВ РА

Акобян Армен; Амбарцумян Арман

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JEL: G21, C39

DOI: 10.52174/1829-0280_2021_3_28

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1 Basel Committee on Banking Supervision, Principles for the Management of Credit Risk, Basel, September 2000, p. 1.

2 Sb'u Altman E., Saunders A., Credit risk measurement: developments over the last 20 years, Journal of Banking and Finance, 21(11-12), 1998, tg 1721-1742:

3 Sb'u Basel Committee on Banking Supervision, Credit risk modelling: current practices and applications, Basel, April 1999, 65 tg:

4 Sb'u Амбарцумян А., Стресс тестирование кредитных рисков на примере коммерческих банков РА, IScience, «Актуальные научные исследования в современном мире», выпуск 2(70), ч. 7, Переяслав, 2021, tg 73-80:

5 Sb'u Merton R., On the Pricing of Corporate Debt: The Risk Structure of Interest Rate. Jo urnal of Finance, 29, 1974, 449-470:

6 Sb'u Black F., Cox J., Valuing Corporate Securities - Some Effects of Bond Indebture Provisions. Journal of Finance, 31, 1976, tg 351-367:

7 Sb'u Geske R., The Valuation of Corporate Liabilities as Compound Options. Journal of Financial and Quantitative Analysis, 12 (4, November), 1977, tg 541-552:

U t. ^nq^hl^h (1984)8, S. <uLLh U U. rhujph (1995)9, a>. Unlqurnu^h U t. G^upgh (1995)10 u2^umnLpjnLllbpnLJ un^u' hbqh^ullbph J2uluö Jnqb-lbpp: T-. ^u^ulh U C riLtiwLh (2000)11, IT-. SpnnLh U U. fa-plpuLh (1995)12, T-. H-u$hh U Uhl^Lmnlh (1999)13 J2u^uö JnTblbpp Uu oqmuqnpö^nLJ bl ^up^ujhl nhuL|h qluhumJul huJup: 4uplujhl InpnLumlbph qluhum-Jul Jb2 [ujlnpbl oqmuqnpö^nLJ t luU ihluluu|ul hu2^.bm^nLpjnLl-ibph Jhguqqujhl 9 «ihluluu|ul qnpöhflbp14» urnul^uprnp: Lbp|ujmJu COVID-19 huJu^upu|h' ^hluluu|ul 2mlujnLJ uhnb|h uqTbgnLpjul ^umöunn^ ulhpud^mnLpjnLl unugugu^ Jb^Jb|nL npn2 ^up|ujhl lbp-TpnLJlbph qön^ u^uu^nq |npnLumlbph ^u^p15, nph npn2u|h

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8 Sb'u Jones E., Mason S., Rosenfeld E., Contingent Claim Analysis of Corporate Capital Structures. An Empirical Investigation. Journal of Finance, 1984:

9 Sb'u Hull J., White A., A Note on the Models of Hull and White for Pricing Options on the Term Structure. The Journal of Fixed Income, 5 (September),1995, t2 97-102:

10 Sb'u Longstaff F., Schwartz E., A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. The Journal of Finance, 50 (3), 1995, t2 789-819:

11 Sb'u Madan D., Unal H., A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads, The Journal of Financial and Quantitative Analysis, 35(1), 2000, t2 43-65:

12 Sb'u Jarrow R., Turnbull S., Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal of Finance, 50 (1), 1995, t2 53-85:

13 Sb'u Duffie D., Singleton K., Modeling Term Structures of Defaultable Bonds. Review of Financial Studies, 12 (4), 1999, t2 687-720:

14 Sb'u ä>hlwluwl|wl hw24bs4nLpjnLllbph Jh2wqqwj|il urnwlTwprn 9 «ä>|ilwluwl|wl qnpöhßlbp», http://eifrs.ifrs.org/eifrs/bnstandards/hy/2018/ifrs09.pdf

15 Sb'u The International Financial Reporting Standards Foundation, «Applying IFRS Standards in 2020— impact of Covid-19», October 2020:

16 Sb'u Basel Committee on Banking Supervision, Measures to Reflect the Impact of Covid-19, Basel, April 2020, The International Financial Reporting Standards Foundation, IFRS 9 and Covid-19, March 2020:

17 Sb'u Hull, J., Nelken I., White A., Merton's model, credit risk and volatility skews, Journal of Credit Risk, Vol. 1, No. 1, 2004, t2 3-27:

18 Sb'u Gupton et al., CreditMetrics, Technical Document, J.P. Morgan, New York, April 2, 1997:

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19 Sb'u Hull J., Nelken I., White A., h2^.

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20 SЬ'u https://support.microsoft.com/en-us/office/norm-s-dist-function-1e787282-3832-4520-a9ae-bd2a8d99ba88

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AA A BBB BB B

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0.02 0.33 5.95 86.93 5.30 1.17 1.12 0.18

0.03 0.14 0.67 7.73 80.53 8.84 1.00 1.06

0.00 0.11 0.24 0.43 6.48 83.46 4.07 5.20

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24 "bnLjh mipjnLpp, t2 20:

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9.Q7% VaR = 97,13 tfjU - 88,54 tfjU = 8,59 üjU ,

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1. « ЧЬlmpnlшLшl poil^h ^nphp^h N 39-L npn2nLJ, «Рш^!^" qnp&nLtibnLpjixiti Lшpqш^npnLJp, puili!1^!":! qnp&nLtibnLpjixiti ЬфЛш-|ш1 т1тЬиш|ш! tinpJixirnh^tibpp» LшlnlшLшpq 2, bp., фЬmp-фшф,2007:

2. 4"1ш1иш|ш! 111X124^1^^^1111^11 Jh2шqqшJhl иsшlpшpm 9 «4"1ш!иш|ш1 qnp6hflЬp», http://eifrs.ifrs.org/eifrs/bnstandards/hy /2018/ifrs09.pdf

3. Амбарцумян А., Стресс тестирование кредитных рисков на примере коммерческих банков РА, IScience, «Актуальные научные исследования в современном мире», выпуск 2(70), ч. 7, Переяслав, 2021.

4. Altman E., Saunders A., Credit risk measurement: developments over the last 20 years, Journal of Banking and Finance, 1998.

5. Basel Committee on Banking Supervision, «Credit Risk Modelling: Current Practices and Applications», Basel, April 1999.

29 Sb'u Basel Committee on Banking Supervision (BCBS). An Explanatory Note on the Basel II IRB Risk Weight Functions. Bank for International Settlements. June, 2005:

6. Basel Committee on Banking Supervision (BCBS). «An Explanatory Note on the Basel II IRB Risk Weight Functions. Bank for International Settlements». June, 2005.

7. Basel Committee on Banking Supervision, «Measures to Reflect the Impact of Covid-19», Basel, April 2020.

8. Basel Committee on Banking Supervision, «Principles for the Management of Credit Risk», Basel, September 2000.

9. Black F., Cox J., Valuing Corporate Securities - Some Effects of Bond Indebture Provisions. Journal of Finance, 31, 1976.

10. Duffie D., Singleton K., Modeling Term Structures of Defaultable Bonds. Review of Financial Studies, 12 (4), 1999.

11. Geske R., The Valuation of Corporate Liabilities as Compound Options. Journal of Financial and Quantitative Analysis, 12, 1977.

12. Gupton et al., CreditMetrics, Technical Document, J.P. Morgan, New York, April 2, 1997.

13. Hirschman A.O., The Paternity of an Index. The American Economic Review, 54(5), 1964.

14. Hull J., White A., A Note on the Models of Hull and White for Pricing Options on the Term Structure. The Journal of Fixed Income, 5, 1995.

15. Hull J., Nelken I., White A., Merton's model, credit risk and volatility skews, Journal of Credit Risk, Vol. 1, No.1, 2004.

16. Jarrow R., Turnbull S., Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal of Finance, 50 (1), 1995.

17. Jones E., Mason S., Rosenfeld E., Contingent Claim Analysis of Corporate Capital Structures - An Empirical Investigation - Journal of Finance, 1984.

18. Longstaff F., Schwartz E., A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. The Journal of Finance, 50 (3), 1995.

19. Madan D., Unal H., A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads, The Journal of Financial and Quantitative Analysis, 35(1), 2000.

20. Merton R., On the Pricing of Corporate Debt: The Risk Structure of Interest Rate. Jo urnal of Finance, 29, 1974.

21. The International Financial Reporting Standards Foundation, «IF RS 9 and Covid-19», March 2020.

22. The International Financial Reporting Standards Foundation, «Applying IFRS Standards in 2020 - impact of Covid-19», October 2020.

23. Valaskova, K., Gavlakova P., Dengov V., Assessing credit risk by Moody's KMV model. In: 2nd International Conference on Economics and Social Science (ICESS 2014), Information Engineering Research Institute, Advances in Education Research, 61, 2014.

24. «UUbPhUPUm» ^PP U|w2rnntiwl|wti l|wjpt2 https://www.ameriabank.am

25. «Uj^|i Pwtil|» ^PP H|w2smtiwl|wti https://www.idbank.am

26. «Upi^htipwtill» ^PP U|w2sintiwl|wti https://www.ardshinbank.am

27. «hntii^bpu Pwtil|» ^PP U|w2smtiwl|wti https://www.conversebank.am

28. «M_SP-<wjwuisiwti Pwtil|» ^PP U|w2sintiwl|wti llwjgl;^ https://www.vtb.am

АРМЕН АКОБЯН

Профессор кафедры финансового учёта АГЭУ, доктор экономических наук

АРМАН АМБАРЦУМЯН

Аспирант кафедры управленческого учёта и аудита АГЭУ

Актуальные проблемы альтернативной оценки кредитных убытков коммерческих банков РА.- Кредитная деятельность банка - один из основных критериев, по которым банк отличается от других финансовых институтов. В мировой практике значительная часть прибыли банка связана с кредитами. В то же время ненадлежащее обслуживание или полное списание кредитов, особенно крупных, может привести банк к финансовым трудностям, вплоть до банкротства, что, в свою очередь, вызовет эффект домино в других секторах экономики из-за его положения в экономике. Управление кредитным риском может использоваться для оценки кредитных убытков, что является необходимым инструментом для нормальной работы, стратегии и тактики развития любого коммерческого банка. За последние два десятилетия ряд крупнейших банков и финансовых институтов мира разработали различные системы, пытаясь оценить кредитные убытки. Используя такие системы, банки могут измерять факторы кредитного риска и использовать результаты для более эффективного управления рисками.

Ключевые слова: кредитный риск, модель Мертона, модель CreditMetrics, оценка дефолта, рейтинг. JEL: G21, C39

DOI: 10.52174/1829-0280_2021_3_28 ARMEN HAKOBYAN

Professor of the Chair of Financial Accounting of ASUE, PhD in Economics

ARMAN HAMBARDZUMYAN

PhD Student of the Chair of Managerial Accounting and Auditing of ASUE

Issues of Alternative Assessment of Credit Losses of Commercial Banks of the RA.- The bank's lending activity is one of the basic criteria by which the bank differs from other financial institutions. In the world practice, a significant part of a bank's profit is related to loans. At the same time, the improper servicing or complete write-off of loans, especially large ones, can lead the bank to financial difficulties, even bankruptcy, which in turn will have a domino effect on the other sectors of

the economy due to its position in the economy. Credit risk management can be used to assess credit losses, which is a necessary tool for the proper operation, development strategy and tactics of any commercial bank. Over the past two decades, a number of the world's largest banks and financial institutions have developed different systems in an attempt to estimate credit loss. By using such systems, banks are able to make credit risk factors measurable and use the results to manage risk more effectively.

Key words: credit risk, Merton model, CreditMetrics model, default assessment, rating. JEL: G21, C39

DOI: 10.52174/1829-0280_2021_3_28

АКТУАЛЬНЫЕ ПРОБЛЕМЫ АЛЬТЕРНАТИВНОЙ ОЦЕНКИ КРЕДИТНЫХ УБЫТКОВ КОММЕРЧЕСКИХ БАНКОВ РА Текст научной статьи по специальности «Экономика и бизнес»

Аннотация научной статьи по экономике и бизнесу, автор научной работы — Акобян Армен, Амбарцумян Арман

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