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Model for Assessing the Financial Stability of a Commercial Bank

Student: Pismerov Ilya

Supervisor: Svetlana Y. Khasyanova

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2019

Financial sustainability is a fundamental concept, which is constantly emerging today when discussing certain aspects of the functioning of banks and the financial system of the country as a whole. There is a practical need for analysis and forecast of the financial stability of banks, since every year on average a hundred banks are revoked licenses in the Russian Federation. The purpose of our study: to consider the key classical models for assessing the financial sustainability of a commercial bank, to evaluate and predict the probability of default of a commercial bank based on logit regression. The sample consists of one hundred and eleven randomly selected banks for assessing and forecasting the financial stability of Russian commercial banking organizations using the Logit model a year before the revocation of a license or bank reorganization. Also, in testing the Z-score models and the Central Bank of the Russian Federation, data from two banks were used: JSC “Agricultural Bank” and PJSC “Selmashbank”. We assume a significant influence of the factors of profit, liquidity, capital on the assessment and forecasting of the financial stability of a commercial bank. In the first chapter the theoretical base of the research is built, key concepts and factors are determined. The second chapter includes a theoretical review and approbation of such models for assessing the financial stability of a commercial bank such as the Z-score and models of the Central Bank of the Russian Federation. The third chapter provides an empirical study of the financial stability of a commercial bank and its forecast based on the logit regression.

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