Modelling Default Risk of Credit Institutions Due to the Loss of their Capital

The phenomenon of insufficiency of the bank's own funds became especially relevant for the Russian economy after the global financial crisis of 2008-2009 against the background of deterioration conditions for the functioning of credit institutions (currency shocks, interest rate fluctuations, etc.). In the course of the research work, a detailed analysis and systematization of the literature base on this topic was carried out, as well as a model for assessing the probability of default of credit institutions due to their loss of capital. It was based on the static data of 420 Russian banks for the period from 2008 to 2018. In addition, a list of specific indicators of banks' formation of fictitious capital (level of business activity, indicator of overstating the balance value of real estate, etc.) was developed. The results of the study make it possible to approve that the addition of indicators in the model enhances its qualitative characteristics and contributes to the improvement of the estimates of the risk of defaults of credit institutions due to inadequate of its own funds. As for the practical importance, the results of this work can be of interest to a wide range of consumers: in particular, individuals to identify potential problem banks and protect their savings, as well as to credit institutions to choose more reliable counterparties in the interbank market and estimate its own risks.