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Modeling reasons for Russian bank license withdrawal: Unaccounted factors

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  • Peresetsky, Anatoly

    () (Higher School of Economics, CEMI RAS, Moscow,)

Abstract

In the paper we analyze the reasons of Russian bank license withdrawal, formulated in orders of CB RF at the period 2005.2–2008.4. During this period, after establishing deposit insurance system in Russia, two main reasons were «money laundering» and «financial insolvency». We design binary choice logit models and multinomial logit models to model probability of license withdrawal one year ahead of the event. We use in model macro indicators to control for the varying economic environment and bank-specific financial indicators taken one year before the observation of the bank status. The models reveal factors important for the prediction of the license withdrawal, which are found to be different for the two reasons. Also we investigate if multinomial model outperform binary model in the bank license withdrawal forecast. We consider dynamics of impact of unaccounted factors, including human factor.

Suggested Citation

  • Peresetsky, Anatoly, 2013. "Modeling reasons for Russian bank license withdrawal: Unaccounted factors," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 30(2), pages 49-64.
  • Handle: RePEc:ris:apltrx:0209
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    References listed on IDEAS

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    1. repec:rnp:ecopol:ep1707 is not listed on IDEAS
    2. repec:nos:voprec:2017-07-3 is not listed on IDEAS
    3. repec:nea:journl:y:2017i:36:p:49-80 is not listed on IDEAS
    4. Емельянов А.М. & Брюхова О.О., 2015. "Исследование Причин Отзыва Лицензий У Российских Коммерческих Банков В Посткризисный Период (2010-2011)," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(3), pages 41-53, июль.
    5. Gurova Yelena Pavlovna, 2014. "Stability of the regional banking systems in the crisis and post-crisis periods," Экономика региона, CyberLeninka;Федеральное государственное бюджетное учреждение науки «Институт экономики Уральского отделения Российской академии наук», issue 4, pages 237-245.
    6. Yelena Gurova, 2014. "Stability Of The Regional Banking Systems In The Crisis And Post-Crisis Periods," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(4), pages 237-245.

    More about this item

    Keywords

    banks; probability of bank default models; binary choice models; multinomial choice models; money laundering;

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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