Modeling the Default Probabilities of Russian Banks: Extended Abillities
AbstractUsing binary choice logistic regression with quasi panel data (1998-2011) to develop a probability of default model for Russian banks we have found that: 1) there is a quadratic interaction between bank's capital adequacy ratio and its default probability; 2) there is a negative relationship between the bank's monopoly power and its PD; 3) macroeconomic, institutional and time factors significantly improve the model quality. We believe that these results will be useful for national financial regulatory authorities as well as for commercial banks in risk management.
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Bibliographic InfoArticle provided by New Economic Association in its journal Journal of the New Economic Association.
Volume (Year): 17 (2013)
Issue (Month): 1 ()
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probability of default (PD); banks; Russia; risk-management; internal ratings; IRB approach; Basel II;
Find related papers by JEL classification:
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- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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