Risk Management of a Commercial Bank’s Project Portfolio through Simulation

DOI

10.2991/ahcs.k.191206.011How to use a DOI?

Keywords

project portfolio, commercial banks, management, stochastic factor, simulation model, banking project, probability distribution, submodel

Abstract

The authors build a simulation model focused on the risk management of a commercial bank’s project portfolio with a detailed description of the relevant methodology. The paper explores the logic of the simulation algorithm, which is the logical structure of the system functioning model. It obtains insights into the structure and interrelations of submodels in the simulation model of a commercial bank’s project portfolio. The authors analyze the identified stochastic factors. The research selects probability distributions for each of the chosen random factors and explores the core processes of the simulation model for the project portfolio of a commercial bank. It describes the components forming the submodels using various presentation methods. The results of the research work are: determined relationships between banking project risk types (input parameters) and the cumulative risk of a commercial bank’s project portfolio (resultant indicator), calculation of the cumulative risk in a commercial bank’s project portfolio through simulation, completed experiments with the model based on the factorial design.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Zlata Usmanova
AU  - Anna Khanova
PY  - 2019
DA  - 2019/12/12
TI  - Risk Management of a Commercial Bank’s Project Portfolio through Simulation
BT  - Proceedings of the Fourth Workshop on Computer Modelling in Decision Making (CMDM 2019)
PB  - Atlantis Press
SP  - 62
EP  - 66
SN  - 2589-4900
UR  - https://doi.org/10.2991/ahcs.k.191206.011
DO  - 10.2991/ahcs.k.191206.011
ID  - Usmanova2019
ER  -