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:
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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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