Scandinavian Working Papers in Economics
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Institute for Economies in Transition, Bank of Finland BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland

No 21/2004:
Probability of default models of Russian banks

Anatoly A. Peresetsky (), Alexandr A. Karminsky () and Sergei V. Golovan ()

Abstract: 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 incor-poration 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; (follow links to similar papers)

54 pages, December 30, 2004

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This paper is published as:
Peresetsky, Anatoly A., Alexandr A. Karminsky and Sergei V. Golovan, (2011), 'Probability of default models of Russian banks', Economic Change and Restructuring, Vol. 44, No. 4, pages 297-334

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