Evolution of distributions of key agregate variables of Russian banks

Student: Malakhov Dmitrij

Educational Programme: Master

Year of Graduation: 2014

In this work we propose a model of evolution of distribution of key aggregate variables of Russian banks. We choose aggregate assets as main analyzed variables, because it is good approximation of banks size. This model  is based on basic model of money distribution among banks. Solution of this model describes the dynamic of distribution of banks’ shares (and this distribution is stable).<o:p></o:p>We test our model: lognormal distribution is good approximation for stable distribution, but average value and standard deviation are not stationary processes. So model passed partially an empirical test.<o:p></o:p>Also lognormal distribution is good approximation of distributions of other key variables.  In this paper we test so called Gibrat law and we found out, that this law holds for our data. As well this model could be helpful for forecast of dynamic of bank system. <o:p></o:p>

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