Importance Currently, seeing an emergence of new risks of the national economic development due to economic and political instability and anti-Russian sanctions, lessors pay more and more attention to forming and monitoring the quality of their lease portfolios. A compounding effect of aggregate risks of the Russian lease companies is relevant and important for all credit institutions, since the absence of macroeconomic stability represents the main inherent risk. That is the reason why it is important to revise an approach to the correlation of market and credit risks, and devise new mechanisms for forming and monitoring the quality of a lease portfolio based on the concentration risk management principle. Objectives The research aims at analyzing the effect of the concentration risk on risks associated with a financial institution's portfolio, and devise a method for making an optimal portfolio of a lease company, especially considering the concentration risk as one of the most considerable threats to the financial stability of the sector during the crisis. Methods Using the retrospective analysis, we identify weaknesses in forming an optimal portfolio of a lease company and managing its risks. Mathematical transformations help us formulate an optimization model and necessary limits that allow neutralizing weaknesses in risk management as found in our earlier researches. Results As a result of the research, we generate a method and model for forming an optimal portfolio of a lease company focusing a special attention on the concentration risk. The proposed method may be of use for any lease company to shape and monitor an effective portfolio of lease deals amid economic instability. Conclusions and Relevance We conclude that lease companies should adequately and correctly consider concentration risks in order to effectively manage their portfolio risks, especially during the crisis and macroeconomic instability.
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