Info: Zenodo’s user support line is staffed on regular business days between Dec 23 and Jan 5. Response times may be slightly longer than normal.

Published June 30, 2018 | Version v1
Journal article Open

Increase of banks' credit risks forecasting power by the usage of the set of alternative models

  • 1. National Research University Higher School of Economics, Moscow, Russia

Description

The paper is aimed at comparing the divergence of existing credit risk models and creating a synergic model with superior forecasting power based on a rating model and probability of default model of Russian banks. The paper demonstrates that rating models, if applied alone, tend to overestimate an instability of a bank, whereas probability of default models give underestimated results. As a result of the assigning of optimal weights and monotonic transformations to these models, the new synergic model of banks' credit risks with higher forecasting power (predicted 44% of precise estimates) was obtained.

Files

RUJEC_article_27737.pdf

Files (662.2 kB)

Name Size Download all
md5:189f938beaf0ecc7503a1434fc16068a
489.5 kB Preview Download
md5:50f4a7f3d622ca491ec18aca92bb33bd
172.7 kB Preview Download