An artificial intelligence system for forecasting financial risk in the banking sphere in the conditions of market uncertainty (original) (raw)

Mezhdunarodnaja jekonomika (The World Economics)

Abstract

The article discusses the theoretical foundations of the analysis and forecasting of financial risk in the banking sector in conditions of market uncertainty. The relevance of the study lies in the fact that the growth of problem debts of commercial banks on loans to legal entities, individual entrepreneurs and individuals is currently the most relevant and debated issue in the banking community. The analysis of the dynamics of assets and the share of overdue loans in 2010–2021 has been carried out, trends in portfolio changes have been identified. The authors considered the advantages of using the VaR indicator as a measure of risk, noting that its weak side is the inability to assess extreme losses (in the tails) if the risk is realized in the range above the confi dence interval. The Perseptron program has been developed for forecasting the dynamics of the share of overdue loans in the portfolio of a commercial bank, which is formed on the Deductor platform. Quantization (groupin...

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