Home  Journals  Financial Analytics: Science and Experience  14(200) - 2014 April

Modeling of possible losses for banks on basis of statistical analysis methods

Available online: 5 April 2014

Subject Heading: BANKING SECTOR

JEL Classification: 

Pages: 17-23

The article considers the features of modeling of probability of receiving negative financial result by bank with using the methods of correlation and regression analysis in the Russian reality. The author offers the model for early prevention of unprofitable activity for the Russian banks on the basis of national bank statistics. The work can be interest to Bank of Russia, credit organizations and their contractors within the objectives of risk management.

Keywords: bank, financial result, correlation and regression analysis

References:

1. Karminskii A.M., Peresetskii A.A., Petrov A.E. Reitingi v ekonomike: metodologiia i praktika [Ratings in economy: methodology and practice]. Moscow, Finansy i statistika Publ., 2005, 400 p.
2. Polterovich V.M., Volchkova N.A., Denisova I.A. Strategiia modernizatsii rossiiskoi ekonomiki [Modernization strategy in the Russian economy]. St. Petersburg, Aleteiia Publ., 2010, 432 p.
3. Salmanov O.N. Matematicheskaia ekonomika s primeneniem Mathcad i Excel [Mathematical economy with Mathcad and Excel application]. St. Petersburg, BKHV-Peterburg Publ., 2003, 464 p.
4. Bluhm C., Overbeck L., Wagner C. Introduction to Credit Risk Modeling. Chapman and Hall/CRC, 2010, 384 p.
5. Mannasoo K., Mayes D. Explaining Bank Distress in Eastern European Transition Economies, J. of Banking and Finance, vol. 33, no. 2, 2009, pp. 244–253.

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

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