Комаров Борис Борисович
Estimation of Bank Default Probability
The object of this paper is to investigate the influence of both different microeconomic financial and macroeconomic factors on the bank default probability. Moreover, we differentiated the different reasons for recalling the banking license by Russian Central Bank through two binary choice models. The data stands for five years of Russian banking sector development: from the first quarter of 2014 to the fourth quarter of 2018. The contribution of our work to the bank default probability estimation can be described in two points. Firstly, we use the combination of factors, which differs from combinations of factors in other works. Secondly, we use two simultaneous binary choice models differentiating various reasons of default. This issue is rarely seen in such researches, because other papers most commonly ignore differing the reasons of recalling the license.
Текст работы (работа добавлена 16 мая 2019г.)