RISK ANALYSIS FOR GRANTING LOANS SECURED BY RESIDENTIAL REAL ESTATE

  • M.K. Izmaylov Peter the Great St. Petersburg Polytechnic University, Saint Petersburg, Russia
  • T.N. Izmaylova Bank, Saint Petersburg, Russia
DOI: https://doi.org/10.34680/BENEFICIUM.2026.2(59).44-53

Abstract

This study develops a comprehensive methodology for assessing risks in residential real estate-secured lending in contexts of high national economic volatility. The relevance of this work is underscored by the vulnerability of mortgage systems to crises, as evidenced by the 2008 financial crisis and the COVID-19 pandemic, alongside the limitations of existing models that often overlook operational costs and the synergy of risks. The goal is to create an integrated approach that combines borrower creditworthiness analysis, dynamic collateral valuation, and operational risk modeling in collections. Key objectives included systematizing specific risk factors for the national market, developing a model to assess the interconnection between probability of default (PD) and loan-to-value (LTV) risk, considering macroeconomic scenarios, quantitatively assessing operational risks (LGD) based on empirical data regarding collateral realization timelines, integrating PD, LGD, and EAD into a unified structure for loss calculation, and formulating recommendations for banks and regulators. The methodology is based on econometric analysis of data from the Central Bank of Russia (CBR) and the State Registration Service (2020-2024), employing modified logistic regression to predict PD, stochastic modeling (ARIMA) for LTV dynamics, and a deterministic formula for LGD that accounts for realization timelines and costs. Key findings indicated that the PD model (AUC-ROC=0.83) demonstrated the dominance of the borrower's credit history over macroeconomic indicators; with a key interest rate of 16%, a 12% drop in property prices shifts 58.3% of loans with LTV > 80% into the LTV > 100% zone; each month delay in collateral realization increases LGD by 1.7 percentage points (LGD reaches 68.9% for periods over 18 months); a combined shock (25% price drop + 18% rate) triples the portfolio's VaR. The practical significance lies in offering dynamic provisioning norms (Reserves = VaR × 1.2), mechanisms to shorten collateral realization periods (reducing losses by 9.1 percentage points), and a review of the critical LTV threshold (75% instead of 85%). Future directions include the integration of real-time data from the State Registration Service for automatic LTV adjustments.

Keywords: banking risks, probability of default (PD), dynamic provisioning, collateralized real estate, mortgage lending, operational costs (LGD), collateral assessment (LTV), stress testing, financial         stability, econometric modeling

References

  • Nagornova V.A. Mortgage in Russia: Current State and Development Prospects // Nauchnoe obrazovanie [Scientific Education]. 2026. Vol. 2(35). Pp.40-42. (In Russ.).
  • Zotova V.I., Fomina M.I. Risks of Modern Mortgage Lending in the Russian Federation // Vestnik Nauki. 2023. Vol. 3(11-68). Pp. 51-61. (In Russ.).
  • Sukhovey A.S. Metody optimizatsii riskov, ispol'zuemye gosudarstvom, pri regulirovanii sistemy ipotechnogo kreditovaniya [Methods of risk optimization used by the state in regulating the mortgage lending system] // Akademicheskaya publitsistika [Academic Journalism]. 2021. Vol. 11-1. Pp. 118-123. (In Russ.).
  • Bedin B.M., Kovalevskaya N.Yu. The Impact of the Development of the Mortgage System on the Availability of Residential Real Estate // Bulletin of Baikal State University. 2020. Vol. 30(2). Pp. 326-336. (In). DOI: DOI: 10.17150/2500-2759.2020.30(2).326-336
  • Gorskiy M.A., Ismailov M.A., Rzheutskaya V.I. Mortgage Lending in the Practice of Russian and Foreign Commercial Banks // Bulletin of the Altai Academy of Economics and Law. 2020. Vol. 12-1. Pp. 62-71. (In). DOI: 10.17513/vaael.1476
  • Pavlova I.Yu., Smirnova U.S. Certain Issues of the Practice of Applying The Rules on Mortgages Under the Contract // Siberian Law Herald. 2021. Vol. 2(93). Pp. 42-47. (In Russ.). DOI: 10.26516/2071-8136.2021.2.42
  • Kaminskiy A.M., Lozinskaia A.M., Ozhegov E.M. Estimation Methods of Creditor’s Loss in Residential Mortgage Lending // HSE Economic Journal. 2016. Vol. 20(1). Pp. 9- (In Russ.).
  • Maslova M.G., Klishevich N.B. Problems of Formation and Management of the Collateral Portfolio of a Commercial Bank // National Association of Scientists. 2021. Vol. 36-3(63). Pp. 36-40. (In Russ.). DOI:31618/nas.2413-5291.2021.3.63.369
  • Savchina O.V., Zakaryan V.V. The Development of the Mortgage Housing Lending in Russia in the Context of the Global Destabilization // MCU Journal of Economic Studies. 2024. Vol. 3(41). Pp. 37-54. (In Russ.).
  • Ermak M.N., Nozdreva I.E. Mortgage Lending in Russia: Development Trends in Commercial Banks // Vestnik nauki. 2025. Vol. 5(3-84). Pp. 17- (In Russ.).
  • Abdymomunov A., Azamat R.E., Ruffino D., Wang J. Examining the Relationship Between Loan Pricing and Credit Risk // FEDS Notes. 2025. DOI: 10.17016/2380-7172.3876
  • Kanapickienė R., Keliuotytė-Staniulėnienė G., Teresienė D. Macroeconomic Determinants of Credit Risk: Evidence on the Impact on Consumer Credit in Central and Eastern European Countries // Sustainability. 2022. Vol. 14(20). Pp. 1-62. DOI: 10.3390/su142013219
  • Lymar M.S., Penikas H.I. Effectiveness of micro- and macroprudential measures in 2014-2022 in Russia: Endogenous treatment effects estimation // Russian Journal of Economics. 2025. Vol. 11(2). Pp. 168- DOI: 10.32609/j.ruje.11.144107
  • Zubov S. Mortgage Lending in January-September 2023 // Monitoring of Russia's Economic Outlook. Vol. 9(165). Pp. 16-18.
  • Chellenyuk V.Yu. Impact of Mortgage Risks on the Stability of the Banking System of the Russian Federation // Vestnik ekspertnogo soveta [Bulletin of the Expert Council]. 2022. Vol. 4(31). Pp. 73-79. (In).
  • Gosudarstvennyy reestr byuro kreditnykh istoriy [State Register of Credit History Bureaus] (2025). Central Bank of the Russian Federation. (In Russ.). URL: https://www.cbr.ru/ckki/registry/ (accessed on 07.07.2025).
  • Natsional'noe byuro kreditnykh istoriy (NBKI) [National Bureau of Credit Histories] (2025). (In Russ.). URL: https://nbki.ru (accessed on 07.07.2025).
  • Publichnaya kadastrovaya karta Rosreestra [Public Cadastral Map of Rosreestr] (2025). (In Russ.). URL:https://pkk.rosreestr.ru (accessed on 07.07.2025).
  • Reestr uvedomleniy o zaloge dvizhimogo imushchestva [Register of Notices of Pledge of Movable Property] (2025). Federal Notary Chamber. (In Russ.). URL: https://www.reestr-zalogov.ru (accessed on 07.07.2025).
  • Pokazateli denezhno-kreditnoy statistiki [Monetary Statistics Indicators] (2025). Central Bank of the Russian Federation. (In Russ.). URL: https://www.cbr.ru/statistics/macro_itm/dkfs/ (accessed on 07.07.2025).

About the Authors 

Maxim K. Izmaylov – Cand. Sci. (Economics), Docent; Associate Professor, Peter the Great St. Petersburg Polytechnic University, Saint Petersburg, Russia. E-mail: izmajlov_mk@spbstu.ru. SPIN РИНЦ 7654-8818. ORCID 0000-0002-3147-9603. Researcher ID AAO-3701-2021. Scopus Author ID 57208470615

Tatiana N. Izmaylova – Corporate Lending Credit Analyst, Bank, Saint Petersburg, Russia. E-mail: ttn.rus@yandex.ru. ORCID 0009-0004-8072-2982

For citation: Izmaylov M.K., Izmaylova T.N. Risk Analysis for Granting Loans Secured by Residential Real Estate // BENEFICIUM. 2026. Vol. 2(59). Pp. 44-53. (In Russ.). DOI: 10.34680/BENEFICIUM.2026.2(59).44-53

Published
2026-06-05
Issue
No 2 (2026)
Section
TRANSFORMATION OF SOCIAL AND ECONOMIC SYSTEM