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Probability Estimation of Licence Revocation in Banking Sector

Student: Bushueva Angelina

Supervisor: Andrey M. Emelyanov

Faculty: Faculty of Economics, Management, and Business Informatics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2017

In the last decade assessing soundness of banks are attracting more and more attention because investigations in this area have a huge practical application for financial market agents. The models estimating the probability of bank failures are claimed by three main financial participants: The Central Bank, commercial banks and their clients. The study incorporated logistic regression based on 12 indicators of banks' activity in the period from Q4 2010 till Q4 2016. The sample included 956 banks. The study shows that relationships has been found between the license revocation and the capital adequacy ratio, the size of collateral loans, the size of the market debt, the long-term liquidity ratio, the profitability and the size of assets and funds on the correspondent accounts. A set of financial indicators has an average predictive effect on the probability of license revocation in banking sector.

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