Financial Analytics: Science and Experience

Modeling a consumer credit portfolio in Russia using the techniques of dynamic system investigation

Vol. 10, Iss. 12, DECEMBER 2017

Received: 4 August 2017

Received in revised form: 17 October 2017

Accepted: 26 October 2017

Available online: 14 December 2017


JEL Classification: E43, E47, G17

Pages: 1346–1361

Evstaf'ev K.A. Kaliningrad State Technical University, Kaliningrad, Russian Federation

Importance The article deals with the issues of research of significant change in the consumer credit market.
Objectives The goal of the paper is to develop a consumer credit market model able to evaluate the efficiency of the credit. Besides, the author aims at obtaining a medium-term forecast of changes in the retail loan portfolio structure.
Methods The study uses statistical methods. The parameters of consumer loans market in 2013 are calculated with the author's method of dynamic processes modeling, regression and correlation analysis of processed report data.
Results The work has obtained a dynamic model of the consumer credit market structure for the period July 2013 to April 2017. The author also presents a forecast of the structure of the retail loan portfolio for 2018 and 2019.
Conclusions and Relevance On the basis of the designed model, it is possible to draw conclusions and forecasts about the effectiveness of measures to regulate the full value of consumer loans and assess their impact on the market.

Keywords: total cost, credit, dynamic model, regression analysis, automatic control theory


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