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The Evaluation of Bank Corporate Borrower's Probability of Default. Modelling Peculiarities by Industry

Student: Anastasiia Kareva

Supervisor: Valentina V. Sofronova

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2017

This bachelor’s thesis provides the research on corporate bank borrower’s default probability. The paper contains introduction, three chapters, conclusion, references and appendices. The main aim of this research is to identify universal and specific financial indicators of commercial enterprises applied to different industrial branches, which are important in assessing the default probability of these organizations as potential bank borrowers. In the first chapter author defines its place in credit risk evaluation system, considers widely employed approaches to its assessment and discovers industry peculiarities that affect the default probability of trade and industrial enterprises. In the second chapter the essential theory basis on application and validation of binary logistic regression model as a PD evaluation method is emphasized. The third chapter contains the empirical results of PD assessment with the use of logit model toolset for trade and industrial organizations, along with quality testing of developed models and interpretation of obtained results. Universal and specific financial indicators of commercial enterprises applied to trade and industrial branches, which are important in assessing the default probability of these organizations, are identified.

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