Comparison of Bank Financial Stability Factors in CIS Countries

被引：1
|
作者：
Karminsky, Alexander [1 ]
Kostrov, Alexander [1 ]
机构：
[1] Higher Sch Econ, Int Lab Quantitat Finance, Moscow, Russia
来源：
2ND INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT, ITQM 2014 | 2014年 / 31卷
关键词：
Probability of Default; Banks; CIS; Russia; Belarus; Ukraine; Kazakhstan;
D O I：
10.1016/j.procs.2014.05.326
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We develop the model for estimating the default probabilities of banks for Russia, Belarus, Kazakhstan and Ukraine using banking statistics from 2005 to 2013. We find that a binary logit regression works best. In addition, macroeconomic and institutional factors significantly improve model accuracy. The results indicate that there are significantly different sources of risk in banking in the considered banking systems. These results are useful for agents operating with CIS banks. (C) 2014 Published by Elsevier B.V. Open access under CC BY-NC-ND license.
引用
收藏
页码：766 / 772
页数：7
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