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Estimation of the Probability of Default of Corporate Borrowers

Year 2016, Volume: 6 Issue: 1, 63 - 67, 01.03.2016

Abstract

Lending to the corporate sector represents a significant part of the activities of the Russian banking sector. At the beginning of 2014 the volume of lending to non-financial organizations amounted to about 56% of the value of the loan portfolio and 39% of the value of Russian banks' assets. Meanwhile, the level of outstanding debt of the corporate loan portfolio tends to increase. A further increase in the share of corporate defaults in the portfolios of banks may cause instability in the banking sector and the financial system as a whole. A large proportion of lending in the Russian market represented lending construction companies. The crises of 2007-2009, 2015-2016 shows that companies in this industry is largely affected by macroeconomic shocks, which leads to interest in the construction of a model / estimation of default probability is for construction industry. In this article we consider one of the approaches to modeling the probability of default of construction companies use logit-models of binary choice on the basis of financial reporting data, institutional characteristics, as well as macroeconomic indicators, as a tool for accounting effect of cyclic economy.

Year 2016, Volume: 6 Issue: 1, 63 - 67, 01.03.2016

Abstract

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Details

Other ID JA99NB43DT
Journal Section Research Article
Authors

Denis V. Rylov This is me

Dmitry V. Shkurkin This is me

Anna A. Borisova This is me

Publication Date March 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 1

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APA Rylov, D. V., Shkurkin, D. V., & Borisova, A. A. (2016). Estimation of the Probability of Default of Corporate Borrowers. International Journal of Economics and Financial Issues, 6(1), 63-67.
AMA Rylov DV, Shkurkin DV, Borisova AA. Estimation of the Probability of Default of Corporate Borrowers. IJEFI. March 2016;6(1):63-67.
Chicago Rylov, Denis V., Dmitry V. Shkurkin, and Anna A. Borisova. “Estimation of the Probability of Default of Corporate Borrowers”. International Journal of Economics and Financial Issues 6, no. 1 (March 2016): 63-67.
EndNote Rylov DV, Shkurkin DV, Borisova AA (March 1, 2016) Estimation of the Probability of Default of Corporate Borrowers. International Journal of Economics and Financial Issues 6 1 63–67.
IEEE D. V. Rylov, D. V. Shkurkin, and A. A. Borisova, “Estimation of the Probability of Default of Corporate Borrowers”, IJEFI, vol. 6, no. 1, pp. 63–67, 2016.
ISNAD Rylov, Denis V. et al. “Estimation of the Probability of Default of Corporate Borrowers”. International Journal of Economics and Financial Issues 6/1 (March 2016), 63-67.
JAMA Rylov DV, Shkurkin DV, Borisova AA. Estimation of the Probability of Default of Corporate Borrowers. IJEFI. 2016;6:63–67.
MLA Rylov, Denis V. et al. “Estimation of the Probability of Default of Corporate Borrowers”. International Journal of Economics and Financial Issues, vol. 6, no. 1, 2016, pp. 63-67.
Vancouver Rylov DV, Shkurkin DV, Borisova AA. Estimation of the Probability of Default of Corporate Borrowers. IJEFI. 2016;6(1):63-7.