Probability of default models of Russian banks

@article{Peresetsky2011ProbabilityOD,
  title={Probability of default models of Russian banks},
  author={Anatoly Peresetsky and Alexandr Karminsky and Sergei Golovan},
  journal={Economic Change and Restructuring},
  year={2011},
  volume={44},
  pages={297-334}
}
This paper presents results from an econometric analysis of Russian bank defaults during the period 1997–2003, focusing on the extent to which publicly available information from quarterly bank balance sheets is useful in predicting future defaults. Binary choice models are estimated to construct the probability of default model. In the first part of the paper we analyse bank survival over the financial crisis of 1998. We find that preliminary expert clustering or automatic clustering improves… CONTINUE READING

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