The Probability of Default:
a sectoral assessment
Tatiana Malakhova
Bank of Russia
Abstract
The paper illustrates the main problems faced by the Russian banking sector during the current world-wide economic and financial crisis. It also considers an approach to improve the stress-testing methodology applied by the central Bank of Russia including the estimation of default probabilities.
JEL Classification: C01, C10, C50
Keywords: probability of default, stress-testing, credit risk
Acknowledgements: I would like especially to thank M.A. Bezdudny for offering valuable assistance in writing this paper. Special thanks are also due to my discussant Vassiliki Zakka for providing useful comments. Finally, I would like to acknowledge productive comments and suggestions by the participants of the Workshop. The views expressed in this paper are those of the author and do not necessarily reflect those of the Bank of Greece and the Bank of Russia. I alone am responsible for the remaining errors and omissions.
Correspondence:
Tatiana Malakhova
Banking Regulation and Supervision Department
Bank of Russia
12 Neglinnaya Street,
Moscow, 107016 Russia
E-mail: chaffy@mail.ru, vav2@cbr.ru