Estimating Russian Banks Default Probabilities

Student: Baranov Daniil

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2018

The author tried to answer the question: whether negative news about Russian banks increase their default probability. The data for 881 banks, from which 296 banks were in default, was collected for the period from 2013 to 2018. The data included financial ratios as control variables and news factors (for example, fact of inspection in a bank, withdrawal of a bank credit rating, prohibition of the Central Bank against particular operations and so on). As a result, negative news have a statistically significant influence on Russian banks defualt probabilities on both short-term and mid-term periods. However, news factors don not increase predictive power of econometric model significantly.

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