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(.): multiple default, optimization problem, logitmodel, capital adequacy ratio.
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(.): We consider an approach to loss evaluation in banks under various scenarios of market crash, which is based on a classification of banks with respect to the dominant industry sector credited. We formulate and solve the problem of optimal loan size to each industrial sector, and the probability minimization problem of a loan default in the case of a crisis in a branch of industry under constraints of capital adequacy ratio and a sufficient level of current assets. A model is suggested of possible loss evaluation for stress situations in a banking sector and a routine for banks ranking based on Snow vector approach; several examples are considered. All approaches considered in this paper were not applied to the Russian banking sector before, as the problem of systemic risk evaluation emerged recently as a result of changes in international regulations.
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