• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Yaroslav Bulatov
Increasing Forecast Power of the Credit Rating Model of Russian Banks by Combining it with the Probability of Default Model
7
2018
This aim of the paper is to increase the forecast power of existing models, created for estimating banks’ financial stability. It is done by estimating two most popular measures of financial stability (credit ratings and default probabilities) and, afterwards, combining those two measures in order to achieve higher accuracy of estimation and higher forecast power. First section contains literature review of articles connected with Credit Rating model and Probability of the Default model. In the next section the main hypothesis is stated and data for testing it is described. Afterwards, two ordered logit models are estimated separately with the use of Step-Wise procedure and PCA analysis and their predicted values are compared with actual figures in order to measure the forecast power. Finally, the combined model is estimated and its out-of-sample forecasting power is shown to be higher than of separate models. From the results achieved, it can be argued that the main hypothesis was proven and the combined model, which increases the forecast power, was introduced.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses