Модели причин отзыва лицензий российских банков. Влияние неучтенных факторов

Прикладная эконометрика. 2013. Т. 30. № 2. С. 49–64.

Peresetsky A.

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.

Keywords: банки, отмывание денег, banks, binary choice models, money laundering, модели бинарного выбора, probability of bank default models, multinomial choice models, модели вероятности дефолта банка, модели множественного выбора