TIJORAT BANKLARIDA JISMONIY SHAXSLARNI KREDITLASH AMALIYOTINING EKONOMETRIK PROGNOZI VA TAKOMILLASHTIRISH YO‘NALISHLARI
DOI:
https://doi.org/10.5281/zenodo.22660420Abstract
2026–2030-yillarga mo‘ljallangan O‘zbekiston tijorat banklarida jismoniy shaxslarni kreditlashning
ekonometrik prognoz ssenariylari hamda kredit portfelini optimallashtirishning integratsiyalashgan modeli ishlab
chiqilgan. Prognozlash uchta vaqt qatorlari modeli — ARIMA (G. E. P. Box va G. M. Jenkins, 1970-yil), SARIMA (mavsumiy
tuzatilgan) va Holt–Winters eksponensial silliqlash modeli (C. C. Holt, 1957-yil; P. R. Winters, 1960-yil) yordamida bank
tizimi miqyosida, shuningdek, Trastbank XAB va Turonbank ATB misolida amalga oshirilgan. Prognoz natijalariga ko‘ra,
O‘zbekiston bank tizimida jismoniy shaxslarga ajratilgan kreditlar qoldig‘i 2030-yilga kelib 268–351 trln so‘m oralig‘ida,
o‘rtacha 310 trln so‘m atrofida shakllanishi kutilmoqda (SARIMA modeli, AIC = 203,4; MAPE = 2,84 %). Prognoz natijalari
asosida H. Markowitzning 1952-yildagi portfel nazariyasini kredit portfeliga moslashtirish orqali integratsiyalashgan riskmenejment
modeli taklif etilgan. Modelning to‘rt bosqichli algoritmi (segmentatsiya → individual skoring → EL va IFRS 9
→ portfelni optimallashtirish) hamda Sharpe–VaR–CVaR mezonlari asosida shakllantirilgan optimal portfel tarkibi riskka
moslashtirilgan daromadlilikni 1,54 foiz punktga, ya’ni 18,42 %dan 19,96 %gacha oshirish imkonini beradi.
Keywords
ekonometrik prognozlash, ARIMA, SARIMA, Holt–Winters, kredit portfeli, portfelni optimallashtirish, Sharpe koeffitsienti, VaR, CVaR, integratsiyalashgan risk-menejment, stress-test, O‘zbekiston bank tizimi.References
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