Modeling of Bank Default Probability

Every year more and more credit organizations are left without licenses. Therefore, the question arises as to what factors influence the financial stability of a credit institution. Many researchers have already attempted to answer this question. In this paper, we examined the impact of financial, institutional and macroeconomic variables on the probability of revocation of a license from a bank. To achieve the goal, a logit model was constructed that takes into account the impact of financial variables with a lag of 2 quarters, as well as the impact of the country's macroeconomic indicators and institutional features of the bank. The models were constructed on the basis of information on 380 banks of the Russian Federation for the period from April 1, 2015 to January 1, 2018. As a result, the positive effect of the increase in the exchange rate, the location of the bank's main office in Moscow on the probability of revoking the license was revealed. Moreover, the U-shaped dependence of the capital adequacy ratio and the probability of license revocation was empirically proved.