One of the most important conditions for the development of the economy is the presence of the credit market [1], which is the largest segment of the financial market. Let us consider it using the example of the Russian Federation. Credit market participants can be divided into four categories:

– Investors are owners of free financial resources (households and firms). The goal of investors is to place free funds as efficiently as possible (i.e., at higher rates) in such a way as to be able to return them early without losing profitability.BackJune 610K
– Banks are financial institutions that accumulate free funds and provide them for temporary use to borrowers on a reimbursable basis. The goal of banks is to attract the maximum amount of funds from investors and place them to borrowers with minimum risk and maximum margin.

– Borrowers are legal entities and individuals who raise funds from banks. The purpose of borrowers is to attract the required amount of funds for personal funds or business purposes for the required period and at a minimum interest.

– The state is the credit market regulator, which controls (through the Central Bank of the Russian Federation) financial intermediaries and manages the money supply and interest rates, as well as the Deposit Insurance Agency (DIA), which implements a special state program “On insurance of deposits in banks of the Russian Federation” [2].

The tasks of the Central Bank [3] include the development and strengthening of the country’s banking system, as well as the development and maintenance of financial market stability. The main risks of the banking system include

– liquidity risk,


– credit risk,

– bank capital adequacy risk.

The Central Bank of the Russian Federation applies various criteria to assess the listed risks and control the reliability of the banking system as a whole and each bank separately. These include the system of mandatory standards of commercial banks [4], ratings of banks, dynamics of overdue loans, etc.
The source of credit risk in the banking system, i.e., the risk of the borrower not returning a loan to the bank, is the financial condition of the borrower, which, according to Basel III requirements [5, 6], is estimated by such parameters as PD (Probability of Default) — the likelihood that a borrower will be unable to meet its debt obligations — and LGD (Loss Given Default) — the share of an asset that is lost if a borrower defaults. Note that this risk also affects the liquidity of banks and the adequacy of their capital. Thus, the incoming risk of borrowers lending in the banking system is the initial value that determines the risk of the system, which is redistributed between lending banks and then among investors who have placed their funds in banks.

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