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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. Karminsky, Alexandr & Peresetsky, Anatoly, 2007. "Models of Banks Ratings," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 5(1), pages 3-19.
  2. 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.
  3. Virolainen , Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
  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. Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro, 2006. "Credit Cycles and Macro Fundamentals," Tinbergen Institute Discussion Papers 06-023/2, Tinbergen Institute.
  6. Reinhart, Carmen & Kaminsky, Graciela, 2000. "Crisis financieras en Asia y Latinoamerica: ahora y entonces
    [Financial Crises in Asia and Latin America Different: Then and Now]
    ," MPRA Paper 13735, University Library of Munich, Germany.
  7. O. Solntsev & A. Pestova & M. Mamonov, 2010. "Stress Test," Problems of Economic Transition, M.E. Sharpe, Inc., vol. 53(8), pages 68-94, December.
  8. 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.
  9. 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.
  10. Til Schuermann & Samuel Hanson, 2004. "Estimating probabilities of default," Staff Reports 190, Federal Reserve Bank of New York.
  11. Gertjan W. Vlieghe, 2001. "Indicators of fragility in the UK corporate sector," Bank of England working papers 146, Bank of England.
  12. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
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