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ISSN 1392-3110

Socialiniai tyrimai / Social Research. 2012. Nr. 2 (27), 71–77

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Siauliai University, Faculty of Social Sciences, Architektu Str. 1, LT-78366 Siauliai, Lithuania
E-mail: ektc@smf.su.lt, rrumbauskaite@yahoo.com

$EVWUDFW es in the methods of the credit risk topic and analyse


Credit risk management models and a theoretical how these models could be used in a particular situa-
approach to credit risk management models and their types tion of the Lithuanian banking sector.
are presented in this paper. Credit risk is one of the most 5HVHDUFKQRYHOW\6FLHQWL¿FOLWHUDWXUHRQWKLV
important risks that incurs in banking activities. It is es- WRSLFLVV\VWHPL]HGWKHPDLQFUHGLWULVNPDQDJHPHQW
sential to choose the tool of restraining and managing this
models are highlighted.
risk correctly with the aim to minimize credit risk. Theo-
ULHVRIFUHGLWULVNPDQDJHPHQWWKHPDLQWRROVDQGPRG-
5HVHDUFK REMHFW credit risk management
els used in the Lithuanian banking system are introduced models.
in the paper. 5HVHDUFK REMHFWLYH to analyze credit risk
.H\ZRUGV FUHGLW ULVN FUHGLW ULVN PDQDJHPHQW management models and to compare their use in the
FRPPHUFLDO EDQN FHQWUDO EDQN FUHGLW ULVN PDQDJHPHQW commercial banks of Lithuania.
models. 5HVHDUFKWDVNV
• To analyse importance of credit risk man-
,QWURGXFWLRQ agement and discuss the main credit risk
&UHGLWULVNLVRQHRIWKHPRVWVLJQL¿FDQWULVNV management models.
that commercial banks face. The supervising com- • To analyze credit risk management models
PLWWHH RI WKH %DVHO EDQN SRLQWV RXW WKDW OLEHUDOL]HG used in the Lithuanian banking sector.
ORDQLQJEDGPDQDJHPHQWRIFUHGLWSRUWIROLRVLQVXI- • 7RKLJKOLJKWLQGLFDWRUVWKDWLQÀXHQFHFKDQJ-
¿FLHQW HYDOXDWLRQ RI FKDQJLQJ HFRQRPLFDO DQG RWK- es in the quality of the loan portfolio.
HU VLWXDWLRQV FUHDWH KXJH SUREOHPV IRU ¿QDQFLDO LQ- 5HVHDUFKPHWKRGRORJ\The following meth-
VWLWXWLRQV %&%6 $FFRUGLQJ'DYLG2%OHLP RGV KDYH EHHQ XVHG VFLHQWL¿F OLWHUDWXUH DQDO\VLV
  PRVW RI V\VWHPDWLF EDQNLQJ FULVLV DULVH EH- FRPSDULVRQV\VWHPL]DWLRQJURXSLQJLQGXFWLYHGH-
cause of enormous portfolios of bad loans. The ques- GXFWLYHVHDUFKIRUDQDORJ\FDOFXODWLRQRIFRUUHODWLRQ
tion would be: How to soften danger that arises from FRHI¿FLHQWVXVLQJWKH6636SURJUDP
credit risk in the portfolio of loans or in the whole 5HVXOWV The concept of credit risk manage-
EDQNLQJ VHFWRU" 6FLHQWL¿F OLWHUDWXUH SURSRVHV D YD- PHQWPRGHOVDQGWKHLUPDLQIHDWXUHVDVWUHVVWHVWLQJ
ULHW\ RI DSSURDFKHV PRGHOV PHWKRGV DQG WRROV IRU model and the main problem of the Lithuanian bank-
FUHGLWULVNPDQDJHPHQW7KHPRVWFRPPRQVLPSO\ LQJVHFWRUDEVHQFHRIDVROLGV\VWHPDUHSUHVHQWHG
adjusted and most often used credit risk management
models are summarised and their principal features 5HVHDUFKPHWKRGRORJ\
are highlighted in the paper. The main problem of the 7DEOH  ZLWK FRUUHODWLRQ FRHI¿FLHQWV FDOFX-
Lithuanian banking sector would be that there is no ODWHG E\ WKH 6636 SURJUDP DUH SUHVHQWHG LQ WKH ¿-
solid system of credit risk management. As a solution nal part of the paper. Seeking to evaluate the situa-
stress testing and its use in credit risk management WLRQFRUUHFWO\DSSURSULDWHGDWDDQG&R3RGDQG&,0-
are described in the paper. '2 PHWKRGRORJLHV DFFRUGLQJ 0$ 6HJRYLDQR %D-
5HVHDUFKUHOHYDQFHIt is important to analyze VXUWRDQG33DGLOOD  PXVWEHXVHG'XHWRLQ-
WKHVSHFL¿FLW\DQGFLUFXPVWDQFHVRIFUHGLWULVNPDQ- VXI¿FLHQWLQIRUPDWLRQDQGOLPLWHGDGMXVWPHQWRIWKH
agement models for the purpose of choosing the right methodology merely primary steps of introducing a
credit risk management model and incorporating it in stress testing model under negative circumstances
the policy and strategy of the commercial bank. Since DFFRUGLQJ$/DNVWXW\WH$%UHLNHU\WH'5XPVDLWH
WKHFXUUHQWVLWXDWLRQLQWKH¿QDQFLDOVHFWRUEHDUVVH- (2009) are given in the paper. Steps of a stress test-
ries of questions for discussions on bank credit risk ing model are given in Table 1. To evaluate probabil-
DQGLWVPDQDJHPHQWLWLVUHOHYDQWWRUHYLHZFKDQJ- LW\RIVHSDUDWHGHIDXOWRIEXVLQHVVHVPRUWJDJHVDQG


consumer credits it is important to analyze macroeco- PLWWHH RI WKH %DVHO EDQN SRLQWV RXW WKDW OLEHUDOL]HG
QRPLFLQGLFDWRUVWKDWFRXOGLQÀXHQFHFKDQJHVLQWKH OHQGLQJEDGPDQDJHPHQWRIFUHGLWSRUWIROLRVLQVXI-
quality of a loan portfolio. 11 macroeconomic factors ¿FLHQWHYDOXDWLRQRIFKDQJLQJHFRQRPLFDODQGRWKHU
were used to evaluate the reserves of the Lithuanian VLWXDWLRQVFUHDWHKXJHSUREOHPVIRU¿QDQFLDOLQVWLWX-
commercial banks for losses because of credit risk. WLRQV 9DOYRQLV 7KLVLVWKHPDLQUHDVRQZK\
To choose right macroeconomic indicators (indepen- LWLVLPSRUWDQWWRFKRRVHULJKWWRROVSURFHGXUHVDQG
GHQWYDULDEOHV WKDWFRXOGLQÀXHQFHSUREDELOLW\RIGH- methods to effectively protect loans from credit risk.
fault separately for different kinds of loans (depen- 0DQ\VFLHQWLVWVDJUHHWKDWJRRGFUHGLWULVNPDQDJH-
GHQWYDULDEOHV FRUUHODWLRQFRHI¿FLHQWVZHUHFRPSXW- ment can reduce probability of serious problems in
ed. Seeking to avoid biasing and unify the measures EDQNV 5XWNDXVNDV6WDQNHYLFLHQH%RJXVODXV-
percentage comparing with the past period was com- NDV0LOHULV 
SXWHG &RUUHODWLRQ FRHI¿FLHQWV RI EXVLQHVVHV PRUW- It is important to evaluate whether risk of a par-
JDJHVDQGFRQVXPHUFUHGLWVZLWKWKHZKROHSRUWIROLR WLFXODUORDQLVULVNRIWKHZKROHSRUWIROLRHJFRQFHQ-
correlation versus inactive loans with macroeconom- WUDWLRQRIORDQVFRUUHODWLRQRIWKHGHEWRU¶ULVN$YDUL-
ic factors were computed. HW\RIFUHGLWULVNHYDOXDWLRQPRGHOVH[LVW .DPLHQDV
9DOYRQLV 
&UHGLWULVNPDQDJHPHQWWKHRUHWLFDODS
SURDFK 7\SHVRIPRGHOVRIFUHGLWULVNPDQDJHPHQW
0DQ\VFLHQWLVWVVWDWHWKDWFUHGLWULVNLVDSURED- $V 5 0LOHULV   PDLQWDLQV HDUOLHU VRPH
bility of defaulting if the debtor is unable to meet his PRGHOVE\WZRW\SHVRIVWDWLVWLFDOPHWKRGVGLVFULP-
obligations under the contract due to circumstances. inant analysis and logistic regression were used. Alt-
Risk occurs when the debtor cannot repay his loan PDQ 'HDNLQ %OXP XVHG GLVFULPLQDQW DQDO\VLV IRU
EHFDXVHRIVRPHUHDVRQV:LWKWKHYLHZRIUHGXFLQJ testing probability of the company’s bancrupcy; Ohl-
SRWHQWLDOORVVHVEHFDXVHRIXQUHOLDEOHFOLHQWVEDQNV VRQ *HQWU\ XVHG ORJLVWLF UHJUHVVLRQ /DWHU GHFLVLRQ
should be ready to measure and evaluate credit risk trees and other methods were used. Since 2009 an ar-
RI HDFKFOLHQWVHSDUDWHO\ 0LOHULV  ,I ULVNV LQ WL¿FLDOQHXUDOQHWZRUNPRGHOIRUWKHFUHGLWULVNPDQ-
WKHEDQNLQJVHFWRUDUHFRPSDUHG FUHGLWPDUNHWRS- agement was described.
HUDWLRQDOOLTXLGLW\ LWLVREYLRXVWKDWFUHGLWULVNLVWKH , .DPLHQDV DQG 9 9DOYRQLV   SUR-
PRVWLPSRUWDQW &DRXHWWH$OWPDQ1DUD\DQDQ pose divide credit risk management models accord-
-DVHYLFLHQH9DOYRQLV  LQJ WR ( )DONHQVWHLQ$ %RUDO / 9 &DUW\  
Credit risk management is one of the most DQG-%&DRXWWH(,$OWPDQ31DUD\DQDQ  
discussed topics in Lithuania and foreign countries (Fig. 1).
-DVHYLFLHQH9DOYRQLV 7KHVXSHUYLVLQJFRP-

*URXSRIPRGHOV 0RGHOV 5HVXOWVRIPRGHOV

x Actuary
0RGHOVRISUREDELOLW\RI x Option
GHIDXOW 3'
x Scoring
x Credit margin

0RGHOVRIFUHGLWSRVLWLRQ x Credit equivalent ($'


position /*'
x Loss given default

x 0DUNHWYDOXH (/ 3' /*' ($


0RGHOVRISRUWIROLRORVV x Probability of '
default 8/ 9DU (/

)LJCredit risk management models


Source: compiled by the authors DFFRUGLQJ,.DPLHQDVDQG99DOYRQLV  


The models of default probability are used to evaluated level of default of the whole group: how
evaluate the probability of default of the debtor. The much the bank will lose if it grants a loan of a partic-
models adjusted with the actuary calculation allow ular risk to the debtor of a particular risk. (/ is the
to evaluate relative frequencies of default probability average statistical loss. UL 8QH[SHFWHG/RVV VKRZV
of separate debtors and/or their groups during a par- devation from the average.
WLFXODUWLPH6FRULQJLVXVHRI¿QDQFLDOUHSRUWVRIWKH
company. If scoring is used to evaluate a person’s &UHGLWULVNPDQDJHPHQWPRGHOVXVHGLQWKH
ULVN KLV LQFRPHV DVVHWV DQG RWKHU LQIRUPDWLRQ DUH /LWKXDQLDQEDQNLQJVHFWRU
WDNHQ LQWR DFFRXQW  0DUNHW LQIRUPDWLRQ RI WKH YDO- The loss that banks suffer from credit risk and
XHRIWKHSURSHUW\REOLJDWLRQVDQGVHFXULWLHVLVXVHG the quality of bank’s credit portfolio are dependent
for a credit equivalent position and loss given default on the economic situation in the country as well as on
PRGHOV0RGHOVRIFUHGLWSRVLWLRQDUHXVHGWRIRUHFDVW WKH GHEWRU¶V ¿QDQFLDO VLWXDWLRQ  6LQFH WKH DVVHWV RI
SUREDELOLW\RIDFUHGLWGHIDXOWOHYHO0RGHOVRISRUW- the Lithuanian commercial banks are related to loans
folio loss are calculated as a result of probability of aRIDVVHWVLVPDGHXSIURPORDQV FUHGLWULVN
default models and models of a credit position. De- LVRQHRIWKHPRVWVLJQL¿FDQWVRXUFHVRIULVNWKDWEDQNV
mand of the economical capital is calculated and dis- incur. The global economic recession and the current
tributed to the divisions of the bank according the re- situation in Lithuania when its economy started to
VXOWV RI SRUWIROLR ORVV PRGHOV .DPLHQDV9DOYRQLV ZHDNHQDWWKHHQGRIPD\LQÀXHQFHGHSHQGHQFH
  between economic development processes in the fu-
3' (Probability of Default) is a probability WXUHDQGWKHUHVXOWVRIWKHEDQNLQJV\VWHP7KHUHIRUH
that the debtor would not be able to meet his obliga- LWLVLPSRUWDQWWRHYDOXDWHFRQVHTXHQFHV0DFURHFR-
tions for the bank on time. This measure is related to nomic processes were very important for risk settle-
the debtor (a person or a company) but it is not re- ment in the banking sector. It is proven by theoreti-
ODWHGWRORDQULVN&RQWUDULO\/*' /RVV*LYHQ'H- FDOUHVHDUFK0DQ\HPSLULFDOUHVHDUFKZHUHGRQHLQ
fault) shows an average loss in the case of default WKH /LWKXDQLDQ EDQNLQJ VHFWRU DFFRUGLQJ 06RUJH
od a particular loan or under particular circumstanc-  0$6HJRYLDQR%DVXUWR33DGLOOD  
HV/*'LVFDOFXODWHGDVWKHSHUFHQWDJHRIDSDUWLFX- etc. According to the results of credit risk researchers
lar loan. ($' is the amount of the loan in the case of some steps are given in Table 1.
default. The measure (/ (Expected Loss) shows the
Table 1
5HVHDUFKRIFUHGLWULVNEDVHGRQ6WUHVV7HVWLQJ

 6WHSV 5HVXOWV
 6FHQDULRPRGHOLQJXQGHUGLIIHUHQWULVNIDF • According to the current situation in the country
WRUV • Analysis of evaluation of experts and establishment of the
main risk factors
 (YDOXDWLRQRILQGLFDWRUVWKDWGH¿QLQJWKH • Evaluation of the current quality of the loan portfolio
TXDOLW\RIWKHEDQNORDQSRUWIROLR • Calculation of the probability of default of different loan sec-
tors
 (VWDEOLVKPHQWRIPDFURHFRQRPLFLQGLFDWRUV ‡ ,QGLFDWRUVWKDWPD\LQÀXHQFHFKDQJHVLQWKHSUREDELOLW\RI
WKDWLQÀXHQFHFKDQJHVLQWKHSUREDELOLW\RI GHIDXOWDQGWKHEDQNQHWSUR¿W
GHIDXOWDQGWKHEDQNQHWSUR¿W ‡ (OLPLQDWLRQRIVHDVRQDOÀXFWXDWLRQVRIWKHVHOHFWHGLQGLFDWRUV
• Evaluation of correlation between macroeconomic indicators
DQGWKHSUREDELOLW\RIGHIDXOWDQGWKHEDQNQHWSUR¿WDQG
selection of the most correlating macroeconomic indicators
• Establishment of the parameters of explanatory
macroeconomic variables using a linear regression model

 5HVHDUFKLQWRLQÀXHQFHRIVFHQDULRVRQFUHGLW • Prognosis of explanatory macroeconomic variables according


ULVNRIWKHEDQNVHFWRU to the formulated macroeconomic scenarios
‡ (YDOXDWLRQRILQÀXHQFHRIPDFURHFRQRPLFVFHQDULRVRQWKH
probability of default according to the loan sectors and the
EDQNQHWSUR¿W
Source: FRPSLOHGE\WKHDXWKRUVDFFRUGLQJ$/DNVWXWLHQH$%UHLNHU\WHDQG'5XPVDLWH  .


$V7DEOHVXJJHVWVLQWKHFDVHRIWKHVFHQDU- important factors that should be taken into account
io when the Lithuanian banking system face a lack of ZKHQWKHEDQNVRXUFHVDUHDOORFDWHG,QFRQFOXVLRQ
capital to cover losses banks should keep more eco- absence of a solid credit risk management model ex-
nomical capital if they seek to avoid this risk in the acerbates supervision of credit risk management of
IXWXUH /DNVWXWLHQH%UHLNHU\WH5XPVDLWH  the Lithuanian banking sector. If the Lithuanian Cen-
7KH /LWKXDQLDQ &HQWUDO %DQN PDLQWDLQV WKDW WUDO%DQNZRXOGIRUPXODWHDQGPRQLWRUDVROLGFUHGLW
for the purpose of evaluating resistance of the banks risk management system it would be possible to pro-
in stress situations the liquidity of the banking system tect the whole banking sector from possible econom-
must be examined and stress tested under economic LFDQG¿QDQFLDOVKRFNV6WULFWUHVWULFWLRQVDQGVXSHU-
crisis conditions. The aim of stress testing for cred- vision of loaning would raise stability of commercial
LWULVNLVWRHYDOXDWHZKHWKHUWKHEDQNVKROGVXI¿FLHQW banks in loaning. Solid calculation and interpretation
reserves to cover possible losses that could occur in of credit risk measures should be supervised by an in-
the future under the worst scenario. Stress testing for VWLWXWLRQHJWKH/LWKXDQLDQ&HQWUDO%DQN
credit risk based on the scenario method allows eval-
XDWH LQÀXHQFH RI ULVN IDFWRUV DW WKH VDPH WLPH DQG $QDO\VLVRIFUHGLWULVNDQGIDFWRUVWKDW
their correlation with the macroeconomic environ- LQÀXHQFHWKH/LWKXDQLDQEDQNLQJV\VWHP
PHQWRIWKHFRXQWU\DQGWKH¿QDQFLDOVLWXDWLRQRIWKH The commercial banks of Lithuania have the
debtors in a long term perspective. Stress testing for right to decide individually when and how much
credit risk under the economic crisis was done for the they value their loan losses. Such measures like in-
¿UVWWLPHLQDVSDUWRIWKH¿QDQFLDOVHFWRUHYDO- active part of loans or losses because of devaluated
XDWLRQSURJUDPLQFRRSHUDWLRQZLWK:RUOG%DQNDQG bank loans (also known as loss provisions) compar-
,0)6WUHVVWHVWLQJLVEDVHGRQWKHPRGHORI0$6H- ing with the whole portfolio of loans are used to de-
JRYLDQR%DVXUWRDQG33DGLOOD  7KLVPRGHOLV scribe the quality of the whole portfolio. In Lithuania
based on a conditional probability of default meth- LQDFWLYHORDQVDUHRYHUGXHORDQVPRUHWKDQGD\V
odology (CoPoD) and consistent with the informa- The principal of creating loss provisions is based on
tion of multivariate density optimizing methodology WKH¿QDQFLDOVWDWHRIWKHGHEWRUDQGKLVDELOLW\WRUH-
&,0'2  WKDW DOORZ HIIHFWLYHO\ HYDOXDWH LQÀXHQFH pay. Loss provisions are the term of the risk the loan
of macroeconomic shocks on credit risk of the banks SRUWIROLRIDFHVDQGUHDOORVVHVLWVXIIHUV /DNãWXWLHQơ
loan portfolios in different macroeconomic scenarios %UHLNHU\Wơ5XPãDLWơ /RVVLV¿[HGZKHQWKH
comparing with other statistics and econometrics. debtor is overdue more than 90 days. The dynamics
7KH /LWKXDQLDQ &HQWUDO %DQN JLYHV WKH ULJKW of loss provisions and the loans portfolio for the years
to each commercial bank to choose credit risk man- LQ/LWKXDQLDLVSUHVHQWHGLQ)LJ
agement models by themselves and indicate the most

)LJ&KDQJHVLQWKHYDOXHRIWKHORDQVSRUWIROLRDQGORVVSURYLVLRQVIRUWKH\HDUV
Source: FRPSLOHGE\WKHDXWKRUVDFFRUGLQJGDWDRIWKH/&%

$VLWLVVHHQLQ)LJORVVSURYLVLRQVKDGVLJ- VLWLYH DFWLYLW\ RI EDQNLQJ ± ORDQLQJ ZKHQ PRVW RI


QL¿FDQWO\ LQFUHDVHG LQ WKH \HDU 7KLV LQFUHDVH the debtors were not able to meet their obligations
FRXOGEHFRPSXWHGDVDFRQVHTXHQFHRIWKH¿QDQFLDO on time. Such expansion of loss provisions was ac-
FULVLVIRUWKHEDQNLQJVHFWRU,QWKH\HDU¿QDQ- cepted as a signal of danger by banks. The policy was
cial crisis had a huge importance for the most sen- WLJKWHQHGLQWHUHVWUDWHVLQFUHDVHG%HFDXVHRIWKHVH

changes the supply of loans decreased. In the year the state of the quality of the loan portfolio did not
2009 the economic activity decreased: prices of the decline rapidly comparing with the situation in 2009.
UHDO HVWDWH VDODULHV GHFUHDVHG EXVLQHVV FRPSDQLHV It is seen from stabilizing measures of the quality of
ZHQWEDQNUXSWXQHPSOR\PHQWUDWHLQFUHDVHG7KRVH the loan portfolio. In the year 2011 the quality of the
factors together with a conservative evaluation of the loan portfolio improved; the banks evaluated their
EDQNV RI ORDQLQJ GHWHUPLQHG D VLJQL¿FDQW GHJUDGD- debtors as less risky and because of that loss provi-
tion of the quality of the loan portfolio. In the year sions decreased.
2010 signs of economic recovery in Lithuania show a Inactive distribution of loans compared to the
tendency of the quality of the loan portfolio. In 2010 whole loan portfolio is presented in Fig. 3.

)LJ3DUWRILQDFWLYHORDQVLQWKHZKROHORDQSRUWIROLR\HDU
Source: FRPSLOHGE\WKHDXWKRUVDFFRUGLQJGDWDRIWKH/&%

It is seen that part of inactive loans increased economic measures of the country that could have
all time until the year 2011. The biggest part of inac- WKHELJJHVWLQÀXHQFHRQFKDQJHVLQWKHTXDOLW\RIWKH
tive loans was composed of business clients. The con- loan portfolio. Evaluation of macroeconomic factors
FOXVLRQVFRXOGEHWKDW¿QDQFLDOFULVLVKDGDKXJHLP- WKDW FRXOG KDYH LQÀXHQFH RQ FKDQJHV LQ ULVN RI WKH
pact on the loaning activity of the Lithuanian bank- EDQNVLVEDVHGRQWKHPRGHORI0$6HJRYLDQR%D-
LQJVHFWRU7KHYDOXHRIORDQVGHFUHDVHGORVVSURYL- VXUWRDQG33DGLOOD  )RUHYDOXDWLRQRIWKHUH-
sion became negative and the share of inactive loans serves of the Lithuanian commercial banks to cov-
PDGHXSDVLJQL¿FDQWSDUWLQWKHORDQSRUWIROLR er possible losses of credit risk 11 macroeconomic
For the purpose of evaluating the probabili- IDFWRUVZHUHLGHQWL¿HG&RPSXWHGFRUUHODWLRQFRHI¿-
ty of default separately in businesses mortgages and cients are presented in Table 2.
FRQVXPHU FUHGLWV LW LV LPSRUWDQW WR DQDO\]H PDFUR-

Table 2
&RUUHODWLRQFRHI¿FLHQWVRIWKHPDFURHFRQRPLFIDFWRUDQGLQDFWLYHORDQV

'HSHQGHQWLQGLFDWRUV
%XVLQHVVORDQV 0RUWJDJHORDQV &RQVXPHUORDQV
,QDFWLYH :KROH ,QDFWLYH :KROH ,QDFWLYH :KROH
*'3 -0.299     0.103
+RXVHKROGFRQVXPSWLRQ      
,QGHSHQGHQWLQGLFDWRUV

8QHPSOR\PHQWUDWH      -0.102


3ULFHVRIWKHUHDOHVWDWH   -0.202   0.232
$YHUDJHVDODU\      
$PRXQWRIORDQV -0.093     0.002
,QWHUHVWUDWHV  0.212    0.200
([SRUW      0.011
,PSRUW      
,QÀDWLRQ   -0.013   
)',      
Source: compiled by the authors.


$FFRUGLQJWRWKHGDWDLQ7DEOHWKHPDLQPDF- risks and prevent possibility of default.
URHFRQRPLFLQGLFDWRUVWKDWKDYHWKHELJJHVWLQÀXHQFH 7KH¿QDQFLDOFULVLVRIKDGDQHJDWLYHLP-
RQFKDQJHVLQWKHORDQSRUWIROLRFRXOGEHLGHQWL¿HG pact because the quality of the whole loan portfolio
6LJQL¿FDQWLQGLFDWRUVDUHWKRVHWKHYDOXHRIZKLFKLV GHFUHDVHG&KDQJHVLQDYHUDJHVDODU\XQHPSOR\PHQW
more than 0.3. The results allow draw conclusions UDWHSULFHVRIWKHUHDOHVWDWHDQGLQÀDWLRQKDGWKHELJ-
WKDWFKDQJHVLQDYHUDJHVDODU\KDGWKHELJJHVWLQÀX- gest impact.
ence on changes in inactive loans. Also changes in
XQHPSOR\PHQWSULFHVRIWKHUHDOHVWDWHLQWHUHVWUDWHV 5HIHUHQFHV
DQGLQÀDWLRQVKRXOGEHWDNHQLQWRDFFRXQW)RUIXUWKHU  %DVHO &RPPLWWHH RQ %DQNLQJ 6XSHUYLVLRQ %&%6 
VWUHVVWHVWLQJUHVHDUFKEDVHGRQ&R3R'DQG&,0'2 (2000). Principles for the Management of Credit
PHWKRGVVKRXOGEHPDGHDQGWKHQWKHPRVW VLJQL¿- Risk.
cant factors could be used to create scenarios of cred-  %OHLP ' 2   :KDW 7ULJJHUV D 6\VWHPDWLF
it risk management. These scenarios could help com- %DQNLQJ &ULVLV" &ROXPELD 8QLYHUVLW\ Working Pa-
pers.
mercial banks to choose economic amounts of capi-
 %RJXVODXVNDV 9 0LOHULV 5   (VWLPDWLRQ RI
tal to rationally seek to avoid losses. FUHGLWULVNE\DUWL¿FLDOQHXUDOQHWZRUNVPRGHOV Engi-
neering economics±
&RQFOXVLRQV  &DRXWWH - % $OWPDQ ( , 1DUD\DQDQ 3  
It is important to evaluate risk of a particular 0DQDJLQJ FUHGLW ULVN 7KH QH[W JUHDW ¿QDQFLDO FKDO-
ORDQRUULVNRIWKHZKROHSRUWIROLRHJFRQFHQWUDWLRQ lenge.1HZ<RUN:LOH\)URQWLHUVLQ)LQDQFH
RIORDQVFRUUHODWLRQRIWKHGHEWRU¶VULVN7KHUHDUHD  )DONHQVWHLQ(%RUDO$&DUW\/9  Risk-
variety of credit risk evaluation models. Calc For Private Companies.
Earlier some models according to two types of  -DVHYLþLHQơ)9DOYRQLV9  3DVNROǐYHUWLQL-
PDVWDUSWDXWLQơLU/LHWXYRVSUDNWLND3LQLJǐVWXGLMRV
statistical methods: discriminant analysis and logistic
±
regression were used. Later decision trees and oth-  .DPLHQDV , 9DOYRQLV 9   3DVNROǐ UHJLVWUR
HUPHWKRGVVXFKDVDQDUWL¿FLDOQHXUDOQHWZRUNPRG- naudojimas kredito rizikai valdyti. 3LQLJǐVWXGLMRV
HOIRUFUHGLWULVNPDQDJHPHQWHWFZHUHVWDUWHGWREH ±
XVHG$YDULHW\RIGLIIHUHQWULVNPDQDJHPHQWPRGHOV  /DNãWXWLHQơ$%UHLNHU\Wơ$5XPãDLWơ'  
tools and methods exist. The most common models: 6WUHVV WHVWLQJ RI FUHGLW ULVN /LWKXDQLD %DQNV XQGHU
WKHSUREDELOLW\RIGHIDXOWFUHGLWSRVLWLRQDQGSRUWIR- simulated economical crisis environment conditions.
OLR ORVV PRGHOV VWUHVV WHVWLQJ HWF DUH JURXSHG DQG ,QåLQHULQơ HNRQRPLND >(QJLQHHULQJ (FRQRPLFV@ 
described in the paper. ±
This research on the Lithuanian banking sector 9. Lithuanian Bank Association>LQWHUDFWLYH@:HESDJH
<http://www.lba.lt>.
takes into account risk factors and are use the mod-
10. Lithuanian Central Bank >LQWHUDFWLYH@ :HESDJH
HOV RI 0 6RUJH   0$ 6HJRYLDQR %DVXUWR <http://www.lb.lt>.
33DGLOOD  HWF)RXUVWHSVDQGWKH¿QDOGHFL-  0LOHULV5  6WDWLVWLQLǐNUHGLWRUL]LNRVYHUWLQL-
sion explains which scenario should be used manag- PRPRGHOLǐHIHNW\YXPRDQDOL]ơEkonomika ir vady-
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Šiame straipsnyje pristatoma kredito rizikos valdy- Tam naudojami kredito rizikos vertinimo modeliai.
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The article has been reviewed.


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