Probability of default models of Russian banks
Peresetsky, Anatoly; Karminsky, Alexandr; Golovan, Sergei (20.12.2004)
JulkaisusarjaBOFIT Discussion Papers
JulkaisijaBank of Finland
Julkaisun pysyvä osoite onhttps://urn.fi/URN:NBN:fi:bof-201408072156
This paper presents results from an econometric analysis of Russian bank defaults during the period 1997 2003, focusing on the extent to which publicly available information from quarterly bank balance sheets is useful in predicting future defaults.Binary choice models are estimated to construct the probability of default model. We find that preliminary expert clustering or automatic clustering improves the predictive power of the models and incorporation of macrovariables into the models is useful.Heuristic criteria are suggested to help compare model performance from the perspectives of investors or banks supervision authorities.Russian banking system trends after the crisis 1998 are analyzed with rolling regressions. Keywords: banks, Russia, probability of default model, early warning systems
Published in Economic Change and Restructuring, 2011, 44(4), 297-334 an Published in Russian in Economics and Mathematical Methods (ЭКОНОМИКА И МАТЕМАТИЧЕСКИЕ МЕТОДЫ), 2007, v.43, n.3, pp. 37-62 as Banks’ probability of default models (МЕТОДЫ ОЦЕНКИ ВЕРОЯТНОСТИ ДЕФОЛТА БАНКОВ).