Financial Analytics: Science and Experience

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Financial Analytics: Science and Experience

41(131) - 2012 November

Bank's default probability and its modeling

Vol. 5, Iss. 41, NOVEMBER 2012

Available online: 7 November 2012

Subject Heading: BANKING SECTOR

JEL Classification:

Karminsky A.M. Doctor of Economic Sciences, Doctor of Technical Sciences, Professor of department "Banking", the National Research University - the Higher School of Economics
karminsky@mail.ru

Kostrov A.V. Master's Student, the International Institute of Economics and Finance, the National Research University - the Higher School of Economics
kostrov.alexander.v@gmail.com

Murzenkov T.N. graduate student, faculty of economics (department of banking), National research university - Higher school of economics
murzenkovtn@gmail.com

Under Basel Accords, improving the probability of default models is one of the key risk-management priorities. In this article authors develop an adequate probability of default model for the Russian banking sector. The main features of this research are expansion of time horizon and employing nonlinearities for the independent variables. Also, the accuracy of the developed models was tested. The most prominent explanatory variables for the PD model with nonlinearities are offered.

Keywords: probability, default, bank, model, nonlinearities

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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