Determinants of risk, profitability and default probability of Russian banks

Olga Bekirova and Andrey Zubarev

Applied Econometrics, 2023, vol. 71, 20-38

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).

Keywords: banking sector; banking license revocation; default; insolvency risk; Z-score; return on assets; return on capital; liquidity creation; Bank of Russia (search for similar items in EconPapers)
JEL-codes: G21 G28 G33 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0476

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