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Modelling Probability of Default of Russian Banks and Companies Using Copula Models

Author

Listed:
  • Ilya Khankov

    (National Research University Higher School of Economics, Moscow)

  • Henry Penikas

    (National Research University Higher School of Economics, Moscow)

Abstract

Research is devoted to examination of the classifier, based on copula discriminant analysis (CODA). Performance of the classification of this algorithm was assessed. On samples, modelled with some typical features of corporate default data, sensitivity of the classifier was tested, to sample size, to default rate and to different patterns of variables’ interdependence. Alternative copula families’ selection method is proposed based on certain performance metric optimization. Difference in classification performance of different algorithms are investigated. On real data of Russian corporate defaults, CODA classifier was built. It was supported by single factor analysis, based on discriminant analysis too. Final model demonstrates better classification performance than Linear Discriminant Analysis and Random Forest algorithm, and is comparable to Quadratic Discriminant Analysis. Another experiment was set on data of Russian banks. Single factor analysis was assessed via standard procedure. CODA performance appeared to be lower than of Random Forest here, it was similar to QDA

Suggested Citation

  • Ilya Khankov & Henry Penikas, 2015. "Modelling Probability of Default of Russian Banks and Companies Using Copula Models," DEM Working Papers Series 113, University of Pavia, Department of Economics and Management.
    • Handle: RePEc:pav:demwpp:demwp0113
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    File URL: http://dem-web.unipv.it/web/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0113.pdf
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    Cited by:

    1. Nikolay Pilnik & Stanislav Radionov & Artem Yazykov, 2018. "The Optimal Behavior Model of the Modern Russian Banking System," HSE Economic Journal, National Research University Higher School of Economics, vol. 22(3), pages 418-447.
    2. N. P. Pilnik & I. G. Pospelov & S. A. Radionov, 2020. "On Limits of the Influence of the Bank of Russia Key Rate on Indicators of the Russian Banking System," Studies on Russian Economic Development, Springer, vol. 31(2), pages 229-237, March.

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