TY - JOUR AU - Rylov, Denis V. AU - Shkurkin, Dmitry V. AU - Borisova, Anna A. PY - 2016/05/09 Y2 - 2024/03/28 TI - Estimation of the Probability of Default of Corporate Borrowers JF - International Journal of Economics and Financial Issues JA - IJEFI VL - 6 IS - 1S SE - Articles DO - UR - https://www.econjournals.com/index.php/ijefi/article/view/2354 SP - 63-67 AB - <p>Lending to the corporate sector represents a significant part of the activities of the Russian banking sector. At the beginning of 2014 the volume of lending to non-financial organizations amounted to about 56% of the value of the loan portfolio and 39% of the value of Russian banks' assets. Meanwhile, the level of outstanding debt of the corporate loan portfolio tends to increase. A further increase in the share of corporate defaults in the portfolios of banks may cause instability in the banking sector and the financial system as a whole. A large proportion of lending in the Russian market represented lending construction companies. The crises of 2007-2009, 2015-2016 shows that companies in this industry is largely affected by macroeconomic shocks, which leads to interest in the construction of a model / estimation of default probability is for construction industry. In this article we consider one of the approaches to modeling the probability of default of construction companies use logit-models of binary choice on the basis of financial reporting data, institutional characteristics, as well as macroeconomic indicators, as a tool for accounting effect of cyclic economy.</p><p><strong>Keywords:</strong> Probability of default, credit risk, logit model</p><p><strong>JEL Classifications:</strong><strong> </strong>E50, L79, G30<strong></strong></p> ER -