Configuration of commercial bank project portfolio based on simulation model

The task of building a simulation model of configuration of a portfolio of commercial bank projects is solved. The main processes of simulation model of commercial bank project activity are considered. The logic scheme of the modeling algorithm is considered, which is the structure of the model of the system functioning process. The analysis of stochastic factors identified on the basis of consultations with specialists from various structural divisions of the commercial bank, study of specialized literature was carried out. The factors are classified according to the types of banking risks they cause. Probability distributions are selected for each of the selected accident factors. The task of calculating the total risk of a portfolio of commercial bank projects, based on a simulation model, has been formalized. The structure and relationships of submodels in the simulation model of commercial bank project activity are defined. Elements of simulation model of configuration of portfolio of commercial bank projects forming submodels using different presentation methods are described. Relationships between risk types of bank projects (input parameters) and the aggregate risk of the business bank portfolio (result indicator) are defined. Experiments were carried out with the model, based on the factor plan. The possibility of clarifying and evaluating the configuration of the portfolio of commercial bank projects based on the theory of planning experiments with the simulation model is shown.

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