Banks' Default Factors Under Sanction Restrictions

Today there is a high interest in modeling the probability of a bank’s default. One of the reasons is the obligation to the regulator to create reserves on possible losses, and to maintain values of standards at the certain level. In addition, there is a parallel problem, which is reflected with a financial condition of banks - existence of sanctions in Russia. This paper makes a contribution to research the relations of sanctions and a condition of the banking sector. The presented study is focused on exploring the possible influence of sanctions on financial performance of the banks used when modeling a default. In research the logistic model and multiple-factor model of the discriminant analysis was used. Models included data of 183 Russian banks operating and in default during the period from 2013 to 2018. The received results show that the fact that bank is under sanctions reduces value of the standard H1, a share of currency transactions and increases the level of doubtful debt. Also received results show the influence of value of the standard H1 and share of currency transactions on a default of banks.