STRUCTURE OF OWNERS AS AN INDICATOR IN MODELS FOR EVALUATING THE PROBABILITY OF DEFAULT OF RUSSIAN BANKS

Abstract: one of the main issues in modern finance is the quantitative assessment of credit risk.

Models constructed using multidimensional statistics have become widely known in the financial literature in recent years. Altman used pre-bankruptcy financial data as independent variables in the discriminant analysis model. Although this method has yielded good results, it is based only on current financial statements.

This approach does not allow to take into account the external impact of the owners of the organization. In the event of a deterioration in the financial condition of the organization, owners may decide to increase capital (recapitalization), which will allow the organization to continue operating activities.

To take this factor into account in clustering models, it is necessary to develop a methodology that, based on strict criteria, will allow the formation of quantitative and qualitative variables for inclusion in the model of assessing the probability of bankruptcy.

The purpose of this work is create a method for including indicators of the structure of the bank’s owners as exogenous variables of the model for assessing the probability of default.

The objectives of this work:

  • consolidation of data on co-owners of Russian banks;
  • creating a methodology for determining credit organization control criteria;
  • generalization and comparison of the ownership structure of Russian banks.

The scientific novelty of the study lies in the possibility of taking into account the ownership structure in models for assessing the probability of default of credit organizations.

Keywords: co-owners, ownership structure, control, majority, beneficiary, ownership structure, clustering, private companies, state-owned companies

chelyshev