Shershneva E.G.Ural Federal University named after the First President of Russia B.N. Yeltsin, Yekaterinburg, Russian Federation elena_sher@el.ru
Kondyukova E.S.Ural Federal University named after the First President of Russia B.N. Yeltsin, Yekaterinburg, Russian Federation elen-kon@ya.ru
Subject The article examines the problem of industry risk diversification among the corporate loan portfolio of a commercial bank. Objectives The aim is to identify contradictory (paradoxical) effects of portfolio risk distribution by economic sectors based on the analysis of diversification of the corporate loan portfolio of commercial banks. Methods The study rests on general scientific methods of dialectics, analysis, synthesis, and analogy. Elements of the portfolio analysis theory and risk management approaches serve as a methodological basis. To verify financial statements, we applied the method of analytical groups, calculation of ratios, and comparative analysis. We use graphical method for visual interpretation of theoretic information. Results Based on the identified sectoral asymmetry of corporate loans within the framework of paradoxes by Edward Bowman and Maurice Allais, we offer a method of correlating the diversification characteristics and relative rates of return and the risk of corporate portfolio of a bank. We demonstrate the effectiveness of the method by analyzing the operations of large and medium commercial banks (the grouped sample includes the analysis of financial statements of ten banks). Conclusions The study proves that strategically reasoned policy of industrial diversification of the corporate loan portfolio minimizes risks and does not lead to a significant yield reduction. This solution is of special importance for commercial banks under high volatility and economic crises.
Keywords: credit portfolio, credit risk, diversification, industry structure, risk profile
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