Кредитные рейтинги российских банков и отзывы банковских лицензий 2012-2016 гг.

Журнал Новой экономической ассоциации. 2017. Т. 4. № 36. С. 49–80.

Живайкина А. Д., Peresetsky A.

We consider 11 credit ratings of Russian banks, assigned by international and Russian rating agencies during 2012—2016. Econometric models of these ratings designed on the public information reveal difference in the approaches of the rating agencies to the Russian bank ratings. We also design econometric models of the Russian bank defaults, where we consider default as the bank license withdrawal by the Bank of Russia. Using these models we analyze to what extent rating agencies take into account probability of the license withdrawal in short-run period and if Central Bank of the Russian Federation decisions are related to the bank ratings. We found that the international and domestic rating agencies have different attitudes to the various reasons of the bank license withdrawal formulated in the Bank of Russia orders. Models of the ratings of agencies S&P, Moody’s, and Russian rating «Expert RA» show better performance than other rating models in the prediction of bank licenses withdrawals. Thus these ratings are more close to the purposes of the Bank of Russia. However binary choice models constructed by the historical data of bank licenses withdrawals beat rating models in the prediction of bank licenses withdrawals.

Keywords: банки, Россия, рейтинговые агентства, Russian economy, banks, credit ratings, кредитные рейтинги, модели рейтингов, модели дефолта банков, rating models, The Central Bank of the Russian Federation, rating agency, models of bank defaults, Центральный банк РФ