Determinants of risk, profitability and default probability of Russian banks

Q3 Economics, Econometrics and Finance

Applied Econometrics Pub Date : 2023-01-01 DOI:10.22394/1993-7601-2023-71-20-38

Olga Bekirova, Andrey Zubarev

引用次数: 0

Abstract

In this paper, based on quarterly data on the financial statements of Russian banks for the period from mid‐2013 to the end of 2021, using econometric methods of analysis, we estimated the factors that affect both the probability of bank default as well as other indicators of its activity — risk and profitability. The results obtained showed that balance sheet ratios are significantly correlated with the probability of bank default, its risk of insolvency, and profitability. Asset quality, a bank’s size, a capital ratio, and liquidity creation are important determinants of these bank’s characteristics. The insolvency risk (measured as a Z‐score), in turn, is significantly negatively correlated with the probability of default and profitability (ROA).

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俄罗斯银行风险、盈利能力和违约概率的决定因素

在本文中，基于2013年中至2021年底期间俄罗斯银行财务报表的季度数据，使用计量经济学分析方法，我们估计了影响银行违约概率以及其活动的其他指标-风险和盈利能力的因素。所得结果表明，资产负债表比率与银行违约概率、破产风险和盈利能力显著相关。资产质量、银行规模、资本比率和流动性创造是这些银行特征的重要决定因素。反过来，破产风险(以Z得分衡量)与违约概率和盈利能力(ROA)呈显著负相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.