Stress Testing for Russian Real Sector: First Approach
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.).
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Volume (Year): 16 (2012)
Issue (Month): 4 ()
Pages: 46-70
| Handle: | RePEc:nea:journl:y:2012:i:16:p:46-70 |
| Contact details of provider: | Postal: Phone: +7 495 7189855 Fax: +7 495 7189855 Web page: http://www.econorus.org/english.phtmlEmail: More information through EDIRC
|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
- 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.
- 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.
- Gertjan W. Vlieghe, 2001. "Indicators of fragility in the UK corporate sector," Bank of England working papers 146, Bank of England.
- Reinhart, Carmen & Kaminsky, Graciela, 1998.
"Financial crises in Asia and Latin America: Then and now,"
MPRA Paper
13877, University Library of Munich, Germany.
- 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.
- repec:dgr:uvatin:20060023 is not listed on IDEAS
- 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.
- Karminsky, Alexandr & Peresetsky, Anatoly, 2007. "Models of Banks Ratings," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 5(1), pages 3-19.
- Virolainen , Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
- 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.
- 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.
- Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B., 2009.
"Credit cycles and macro fundamentals,"
Journal of Empirical Finance,
Elsevier, vol. 16(1), pages 42-54, January.
- Koopman, Siem Jan & Kräussl, Roman & Lucas, André, 2006. "Credit cycles and macro fundamentals," CFS Working Paper Series 2006/33, Center for Financial Studies (CFS).
- Til Schuermann & Samuel Hanson, 2004. "Estimating probabilities of default," Staff Reports 190, Federal Reserve Bank of New York.
- 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.
- O. Solntsev & A. Pestova & M. Mamonov, 2010. "Stress Test," Problems of Economic Transition, M.E. Sharpe, Inc., vol. 53(8), pages 68-94, December.
This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.
When requesting a correction, please mention this item's handle: RePEc:nea:journl:y:2012:i:16:p:46-70. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexey Tcharykov)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.