Importance Under international principles of quantitative assessment of credit risk using the Internal Ratings-Based (Basel II), commercial banks should devise appropriate measurement models. In this respect, the Russian credit institutions should have their microeconomic interests to activate their efforts as prescribed with the reform of the adaptation period regulation and reduction. Objectives The research pursues raising the Russian banks' interest in mastering the IRB approach. The IRB approach should be integrated as a measurement tool in constructing comprehensive mechanisms for supporting banks' processes of making internal decisions on the lending and investment policies optimization and equity management. Referring to comprehensive mechanisms, I mean they should have a related executive component along with the measurement one. The executive component requires a conceptual approach to be devised and proposed. Methods Models and mathematical methods for analyzing microeconomic processes in commercial banks are developed and examined in accordance with international principles of risk and capital management, optimization and numerical methods. Results Based on economic and mathematical methods, I propose a conceptual approach to building a model that would allow optimizing quantitative characteristics of the bank's loan asset profile as compared with groups of the rating scale. Conclusions and Relevance The proposed concept for developing an optimization model can contribute to finding applied managerial decisions for more appropriate and effective investing activities of credit institutions as in this case they will handle and utilize their resources in a reasonable way. It triggers the Russian banks to master the international principles of operations.
Keywords: bank, management, credit risk, Basel II
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