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Stress Testing for Russian Real Sector: First Approach

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  • Salnikov, V.

    (IEF RAS, CMASF, Moscow, Russia)

  • Mogilat, A.

    (IEF RAS, CMASF, Moscow, Russia)

  • Maslov, I.

    (IEF RAS, CMASF, Moscow, Russia)

Abstract

Relying on the international studies of companies' default risk assessment, we developed the short-term forecasting stress-test model for Russian real sector companies. Our bankruptcy prediction model is based on the financial statements' figures and industry indicators. We estimated the significance of a number of factors which have never been used in international practice (share on local market, financial state of parent companies, etc.) Our ex post forecast proved to be effective in risky assets' assessment for large groups of companies (branches, regions, etc.).

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Bibliographic Info

Article provided by New Economic Association in its journal Journal of the New Economic Association.

Volume (Year): 16 (2012)
Issue (Month): 4 ()
Pages: 46-70

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Handle: RePEc:nea:journl:y:2012:i:16:p:46-70

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Keywords: credit scoring; stress testing; real sector; Russian economy;

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References

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  1. Petr Jakubík, 2006. "Does Credit Risk Vary with Economic Cycles? The Case of Finland," Working Papers IES 2006/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006.
  2. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
  3. Reinhart, Carmen & Kaminsky, Graciela, 1998. "Financial crises in Asia and Latin America: Then and now," MPRA Paper 13877, University Library of Munich, Germany.
  4. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
  5. Gertjan W. Vlieghe, 2001. "Indicators of fragility in the UK corporate sector," Bank of England working papers 146, Bank of England.
  6. Koopman, Siem Jan & Kräussl, Roman & Lucas, André, 2006. "Credit cycles and macro fundamentals," CFS Working Paper Series 2006/33, Center for Financial Studies (CFS).
  7. Virolainen , Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
  8. Til Schuermann & Samuel Hanson, 2004. "Estimating probabilities of default," Staff Reports 190, Federal Reserve Bank of New York.
  9. Peresetsky, Anatoly A. & Karminsky, Alexandr A. & Golovan, Sergei V., 2004. "Probability of default models of Russian banks," BOFIT Discussion Papers 21/2004, Bank of Finland, Institute for Economies in Transition.
  10. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, 09.
  11. O. Solntsev & A. Pestova & M. Mamonov, 2010. "Stress Test," Problems of Economic Transition, M.E. Sharpe, Inc., vol. 53(8), pages 68-94, December.
  12. Karminsky, Alexandr & Peresetsky, Anatoly, 2007. "Models of Banks Ratings," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 5(1), pages 3-19.
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