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Viktor Bukhshtaber, I Ovodov, S. Shevchenko

Statistical Approach to the Problem of the Estimation of Commercial Banks Reliability

1998. Vol. 2. No. 1. P. 67–83 [issue contents]
On the basis of retrospective data on the activities of Moscow commercial banks for 1996-1997, statistical dependencies between financial indicators provided by them to the Central Bank are investigated. The concept of the integral size of the Bank, more resistant to individual deviations of individual indicators than the commonly used definitions of size, is introduced. It is established that the average ratios between different financial indicators characterizing the Bank are weakly dependent on the integral size of the Bank. A method of assessing the reliability of the Bank, using statistical training on retrospective data on the activities of the Bank against the background of the entire array of banks studied as a whole, is proposed. On retrospective data the prognostic power of estimation of reliability of commercial Bank on the basis of values of the various standards entered by the Central Bank of the Russian Federation, and the indicators used In kromonov's technique is investigated. A comparison of the number of errors and the average financial gain of the client when making a decision on the reliability of the Bank on the basis of the methodology proposed in the work, with the results obtained by using The kromonov methodology and the Central Bank standards. The stability in time of the corresponding decision rules is estimated.
Citation: Bukhshtaber V., Ovodov I., Shevchenko S. (1998) Statisticheskiy podkhod k probleme otsenki nadezhnosti kommercheskikh bankov [Statistical Approach to the Problem of the Estimation of Commercial Banks Reliability]. HSE Economic Journal , vol. 2, no 1, pp. 67-83 (in Russian)
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