EVOLUTION OF MORTGAGE BORROWER CREDIT RISK ASSESSMENT: FROM TRADITIONAL METHODS TO DIGITAL TWIN

In the context of rapid development of the banking sector and changes in the technological sphere of the financial sector, the relevance of the subject of research is determined by the need to improve the existing approaches to credit risk management using modern technologies. The article analyzes the main stages of evolution of the issue of credit risk and key events in the field of risk management that have influenced the development of its theory, such as the 1976 Jamaican Monetary Conference and the introduction of the Basel Accords standards. It identifies the problem faced by credit institutions in developing tools capable of accounting for the specifics of a mortgage borrower’s payment discipline, modern digital technology solutions, and the trends in the development of credit risk assessment methods. The authors consider the structural and logical scheme of a digital twin of a mortgage borrower, which allows taking into account the need of credit institutions to contextualize heterogeneous data, compile detailed analytics of current and retro status, and forecast the future financial behavior of a mortgage borrower. We can propose the concept of a hybrid virtual-physical image (pattern) of the mortgage loan portfolio, based on the structural and logical scheme of the mortgage borrower’s digital twin, which allows analyzing scenarios of the borrowers’ financial behavior, which develops the theory of credit risk.