Model for forming of optimal credit portfolio of commercial bank

Svetlana Drobyazko, Olha Bondarevska, Dmytri Klymenko, Svetlana Pletenetska, Olha Pylypenko,

A methodological approach to the optimization of a commercial bank's credit portfolio is proposed based on Markowitz economic and mathematical optimization model. The economic and mathematical model has been formed, relating to optimization of the bank's credit portfolio based on balancing the factors of maximum profitability and given level of credit risk. A methodical approach was formed to form a credit portfolio by types of credit services and the level of profitability of each of them in the total amount of credits granted.

Keywords: Markowitz model, Credit portfolio, Commercial bank, Covariation