Моделирование вероятности дефолта корпорации на основе прогнозной динамики показателей финансовой отчетности
The paper presents analysis of existing default probability estimation models. Their advantages and disadvantages for application to the Russian companies are considered. As a result of this analysis the new model of corporate default probability estimation is developed. The model is based on forecasting financial indicators. The model was tested on the US companies. The estimations on average have similar values as ones issued by rating agencies. The model should be in demand on the Russian market due to insufficient statistics on historical default frequency, impossibility of KMV-model application caused by low number of publicly traded companies among bond-issuers and absence of “Big-3” agencies ratings for majority of them.