Importance The article evaluates the efficiency of commercial banks' operations by means of econometric model for default. It represents a practical approach to assessing the probability of bankruptcy of commercial banks under modern Russian economy. Objectives The aim of the study is to build an econometric model with a set of factors (indicators) enabling early prediction of possible default of a commercial bank based on changes within the annual period preceding the default. Methods We apply a method of econometric modeling for default probability that rests on evaluation of commercial bank's financial stability as a baseline approach. The distinctive feature of the study is the use of multiple correlation and regression analysis of macro- and microeconomic indicators. Macroeconomic indicators help consider the impact of external factors on financial stability, and microeconomic indicators that are reported in official financial statements of commercial banks, allow for objectivity in calculations. Results We present an econometric model to predict a possible negative scenario of commercial bank's operations based on a set of indicators that allow early prediction of default with significant degree of probability. The obtained results enable to forecast the development of possible negative processes in commercial bank's operations with 1-year time lag. Conclusions The proposed method for early prediction of commercial banks' critical state will facilitate timely measures to strengthen their financial stability and prevent bankruptcy.
Keywords: bank, stability, modeling, default, projection
Tarasenko K.Yu. [Certain problems of financial sustainability management in commercial banks]. Sibirskii torgovo-ekonomicheskii zhurnal = Siberian Trade and Economic Journal, 2009, no. 9, pp. 91–96. (In Russ.)
Tatarinova L.V. Metodicheskie podkhody k otsenke finansovoi ustoichivosti kommercheskogo banka [Methodological approaches to assessing the financial sustainability of the commercial bank]. Irkutsk, BSUEL Publ., 2013, 132 p.
Fedorova E.A., Gilenko E.V., Dovzhenko S.E. [Models for bankruptcy forecasting: Case study of Russian enterprises]. Problemy prognozirovaniya = Problems of Forecasting, 2013, no. 2, pp. 85–92. (In Russ.)
Troshin V.A. [Financial sustainability assessment of the commercial bank]. Molodoi uchenyi = Young Scientist, 2014, no. 10, pp. 263–266. (In Russ.)
Zubarev A.V. [Factors of sustainability of Russian banks during the 2008–2009 сrisis]. Ekonomicheskaya politika = Economic Policy, 2012, no. 4, pp. 126–142. (In Russ.)
Zubarev A.V. [Transformation of theoretical models of bank defaults during the global financial crisis]. Rossiiskii vneshneekonomicheskii vestnik = Russian Foreign Economic Journal, 2013, no. 10, pp. 89–98. (In Russ.)
Yashina N.I., Makarova S.D., Makarov I.A. et al. Teoreticheskie i metodologicheskie aspekty upravleniya kapitalom kommercheskikh bankov: monografiya [Theoretical and methodological aspects of commercial bank's capital management: a monograph]. Nizhny Novgorod, NSPU Publ., 2016, 190 p.
Yashina N.I., Makarova S.D., Makarov I.A. [Managing Equity Capital at Credit Institutions: Formation and Improvement]. Den'gi i kredit = Money and Credit, 2015, no. 1, pp. 38–41. (In Russ.)
Endovitskii D.A., Lyubushin N.P., Babicheva N.E. [Resource-oriented economic analysis: theory, methodology and practice]. Ekonomicheskii analiz: teoriya i praktika = Economic Analysis: Theory and Practice, 2013. no. 38, pp. 2–8. URL: Link (In Russ.)
Endovitskii D.A., Lyubushin N.P., Babicheva N.E., Kupryushina O.M. [From the assessment of organization's financial standing to the integrated methodology for analysis of sustainable development]. Ekonomicheskii analiz: teoriya i praktika = Economic Analysis: Theory and Practice, 2016, no. 12, pp. 42–65. URL: Link (In Russ.)
Lyubushin N.P., Babicheva N.E., Igoshev A.K., Kondrashova N.V. [Modeling the sustainable development of different hierarchical level economic systems based on a resource-oriented approach]. Ekonomicheskii analiz: teoriya i praktika = Economic Analysis: Theory and Practice, 2015, no. 48, pp. 2–12. URL: Link (In Russ.)
Emel'yanov A.M., Bryukhova O.O. [Studying the reasons for withdrawal of Russian commercial banks' licences in the post-crisis period (2010–2011)]. Ekonomika i matematicheskie metody = Economics and Mathematical Methods, 2015, vol. 51, no. 3, pp. 41–53. (In Russ.)
Karminskii A.M., Kostrov A.V. [Simulation of the probability of default of Russian banks: Extended capabilities]. Zhurnal Novoi ekonomicheskoi assotsiatsii = Journal of the New Economic Association, 2013, no. 1, pp. 64–86. (In Russ.)
Karminskii A.M., Stolbov M.I. [Assessing the link between financial soundness and systemic risk for key Russian banks]. Korporativnye finansy = Journal of Corporate Finance Research, 2016, no. 1, pp. 77–87. (In Russ.)
Diamond D.W., Dybvig P.H. Bank Runs, Deposit Insurance, and Liquidity. Journal of Political Economy, 1983, vol. 91, iss. 3, pp. 401–419. URL: Link
Ennis H.M., Keister T. Bank Runs and Institutions: The Perils of Intervention. American Economic Review, 2009, vol. 99, iss. 4, pp. 1588–1607. URL: Link
Ennis H.M., Keister T. Banking Panics and Policy Responses. Journal of Monetary Economics, 2010, vol. 57, iss. 4, pp. 404–419. URL: Link
Temzelides T. Evolution, Coordination, and Banking Panics. Journal of Monetary Economics, 1997, vol. 40, iss. 1, pp. 163–183. URL: Link00033-0
Ioannidis C., Pasiouras F., Zopounidis C. Assessing bank soundness with classification techniques. Omega, 2010, vol. 38, iss. 5, pp. 345–357. URL: Link
Makarova S.D., Makarov I.A. Podkhody k opredeleniyu finansovoi ustoichivosti kommercheskikh bankov. V kn.: Fundamental'nye i prikladnye nauchnye issledovaniya: aktual'nye voprosy, dostizheniya i innovatsii [Approaches to determining the financial sustainability of commercial banks. In: Basic and Applied research: Current issues, achievements and innovations]. Penza, Nauka i Prosveshchenie Publ., 2016, pp. 186–192.
Blank S., Dovern J. What macroeconomic shocks affect the German banking system?: Analysis in an integrated micro-macro model. Journal of Financial Economic Policy, 2010, vol. 2, iss. 2, pp. 126–148. URL: Link
Simons D., Rolwes F. Macroeconomic default modeling and stress testing. International Journal of Central Banking, 2009, vol. 5, iss. 3, pp. 177–204.