Įmonių Kredito Rizikos Vertinimo Modelių Analizė

2354 words - 10 pages

Neringa Semėnaitė, Solveiga Jagminaitė
Vadovė: Lekt. Dr. Laura Ivaškevičiūtė
Kauno technologijos universitetas, Socialinių mokslų fakultetas SM 5/2 gr.
Bankai skolindami neturi visos reikiamos informacijos apie įmones, todėl susiduria su vis didesne kredito rizika, o tai sąlygoja nuolatinį poreikį tobulinti savo rizikos valdymo sistemą, kurti naujus metodus, kurie padėtų efektyviai vystyti veiklą. Problema: parinkus netinkamus kredito rizikos vertinimo modelius ir metodus iškyla neadekvataus kredito rizikos vertinimo grėsmė, kuri yra viena iš šiandieninės finansinės krizės priežasčių. Tikslas – išanalizuoti įmonės kredito rizikos ...view middle of the document...

Kredito rizikos vertinimo modeliai
Daugelio mokslininkų ir praktikų nustatyta, kad viena iš pagrindinių komercinių bankų žlugimo priežasčių – netinkamas kredito rizikos vertinimas. Kredito rizikai vertinti yra sukurta daug įvairių metodų ir modelių. Kadangi nėra vieno geriausio modelio kredito rizikai įvertinti (gali būti vertinama pavienės paskolos arba viso paskolų portfelio kredito rizika), komerciniai bankai savo veikloje naudoja įvairius metodų bei modelių derinius (žr. 1 pav.).

1 pav. Kredito rizikos vertinimo modeliai (sudaryta autorių)
Reitingavimas. Kad kredito rizika būtų veiksmingai valdoma, bankas turi nustatyti jos šaltinius ir tiksliai įvertinti kiekvieno banko skolininko, kiekvienos paskolos ir viso paskolų portfelio riziką. Skolininko ir paskolos rizika bankuose vertinama pasitelkiant reitingų sistemas. Kredito reitingai dažniausiai taikomi verslo klientų vertinimui. Mažmeniniams ir smulkiems verslo klientams taip pat taikoma įvertinimo sistema. Anot A. Dzikevičiaus ir L. Steckytės, reitingas – tai indikatorius, prognozė arba nuomonė apie įmonės ar institucijos gebėjimą vykdyti savo įsipareigojimus, įvertinant galimus nuostolius. Vieno ar kito kredito reitingo priskyrimas ir rizikos lygio nustatymas leidžia bankui grupuoti išduotus kreditus į grupes ir rizikos klases. Rizikos klasių klasifikacija nustato kreditų grupavimą pagal rizikos lygį, kurie būna tokie: kreditai su mažiausia rizika, kreditai su padidinta rizika, kreditai su ribine rizika ir kreditai neatitinkantys taisyklių.
Statistinis vertinimas dažniausiai taikomas fizinių asmenų arba mažų ir vidutinių įmonių rizikai vertinti. Stambioms įmonėms teikiamos paskolos labiau skiriasi, taigi standartizuotas statistinis metodas neatskleistų visų skolininko ypatumų. Be to, bankams paprastai trūksta duomenų apie įmonių įsipareigojimų neįvykdymo atvejus, todėl statistinius modelius sunku pagrįsti empiriškai. Eksperto – kvalifikuoto įmonės rizikos vertintojo atliekamas reitingavimas bankui brangiau kainuoja, tačiau stambioms įmonėms paprastai teikiamos didelės, daug pajamų bankui teikiančios paskolos, taigi tokio reitingavimo išlaidos atsiperka. Mišri procedūra, kai ekspertas iš anksto nustatytus kriterijus lygina su ribiniais dydžiais. Šiai grupei priskirtinos ir tos procedūros, kai pirminis įmonės reitingas nustatomas taikant statistinį modelį, o galutinis reitingas nustatomas eksperto.
Tam, kad būtų priskirtas reitingas reikia išanalizuoti visą grandinę kiekybinių ir kokybinių rodiklių, į kuriuos reikia atsižvelgti analizuojant su įmone susijusią riziką. Kiekvienas rodiklis turi paprastai nustatytą galutinio reitingo dalį. Tokiu būdu reitingas gaunamas išvedus svertinį kiekybinių ir kokybinių rodiklių vidurkį. D. Savickaitė ir V. Valvonis savo straipsnyje pateikia tokius įmonių reitingavimo kiekybinius rodiklius: likvidumo, pelningumo, nuosavybės ir skolos, turto panaudojimo efektyvumo (apyvartumo), finansinių įsipareigojimų dengimo ir kitus.
Kitą reitingo dalį...

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