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Article

Оценка вероятностей дефолта российских банков: эмпирический анализ

Финансовый бизнес. 2011. № 3. С. 9-16.

We suggest an econometric model of probability of default based on regular financial disclosures of Russian banks. We also suggest a quantization of the continuous explanatory variables that allows to account for non-linear effects and to achieve superior accuracy compared with regression tree and Bayesian network models estimated over the same sample. The econometric estimates of probability of default are broadly consistent with the historical default frequencies of rated obligors and risk-neutral probabilities of default inferred from credit spreads in a reduced-form model.