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Stress Testing for Russian Real Sector: First Approach

  • Salnikov, V.

    (IEF RAS, CMASF, Moscow, Russia)

  • Mogilat, A.

    (IEF RAS, CMASF, Moscow, Russia)

  • Maslov, I.

    (IEF RAS, CMASF, Moscow, Russia)

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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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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  1. Koopman, Siem Jan & Kräussl, Roman & Lucas, André, 2006. "Credit cycles and macro fundamentals," CFS Working Paper Series 2006/33, Center for Financial Studies (CFS).
  2. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
  3. 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.
  4. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  5. Kaminsky, Graciela L & Reinhart, Carmen M, 1998. "Financial Crises in Asia and Latin America: Then and Now," American Economic Review, American Economic Association, vol. 88(2), pages 444-48, May.
  6. Til Schuermann & Samuel Hanson, 2004. "Estimating probabilities of default," Staff Reports 190, Federal Reserve Bank of New York.
  7. Virolainen , Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
  8. 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.
  9. Anatoly Peresetsky & Alexandr Karminsky & Sergei Golovan, 2011. "Probability of default models of Russian banks," Economic Change and Restructuring, Springer, vol. 44(4), pages 297-334, November.
  10. O. Solntsev & A. Pestova & M. Mamonov, 2010. "Stress Test," Problems of Economic Transition, M.E. Sharpe, Inc., vol. 53(8), pages 68-94, December.
  11. Gertjan W. Vlieghe, 2001. "Indicators of fragility in the UK corporate sector," Bank of England working papers 146, Bank of England.
  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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