Searching for the credit portfolio structure and building portrait of prospective borrower

Article describes business process engineering of a commercial bank in part of developing credit policy. Proposed model gives tools of finding optimal structure of bank's credit portfolio and finding optimal financial performance indicators of a potential borrower using differential equations and modeling of stochastic variables and criterion of indifference of a bank. Finally, model forms the base and rules for the simulation of performance indicators of potential borrowers using Monte-Carlo method for future time instances. © 2015, IFAC Hosting by Elsevier Ltd