Stress Testing for Russian Real Sector: First Approach

Vladimir Salnikov, A. Mogilat and I. Maslov
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A. Mogilat: IEF RAS, CMASF, Moscow, Russia
I. Maslov: IEF RAS, CMASF, Moscow, Russia

Journal of the New Economic Association, 2012, vol. 16, issue 4, 46-70

Abstract: Relying on the international studies of companies' default risk assessment, we developed the short-term forecasting stress-test model for Russian real sector companies. Our bankruptcy prediction model is based on the financial statements' figures and industry indicators. We estimated the significance of a number of factors which have never been used in international practice (share on local market, financial state of parent companies, etc.) Our ex post forecast proved to be effective in risky assets' assessment for large groups of companies (branches, regions, etc.).

Keywords: credit scoring; stress testing; real sector; Russian economy (search for similar items in EconPapers)
JEL-codes: G32 G33 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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