The dynamics of accounting reports as an indicator of the deterioration in bank’s financial standing
( Pp. 176-186)
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Shurakova Daria A.
Financial University under the Government of the Russian Federation
Financial University under the Government of the Russian Federation
Abstract:
The purpose of the article is to predict the financial condition of banks in the Russian Federation using mathematical modeling tools. The main task is to develop a machine learning algorithm to predict the deterioration of the financial condition of banks. The article describes the construction of regression models that make it possible to predict bank ratings based on the published reporting forms of credit institutions. The built models are of two types: the first model predicts the current ratings of banks, the second predicts future ratings in three months time horizon. Combining the two models makes it possible to predict rating downgrades for any bank in Russia. The quality of the models was assessed, and conclusions were drawn from the results obtained.
How to Cite:
Shurakova D.A., (2021), THE DYNAMICS OF ACCOUNTING REPORTS AS AN INDICATOR OF THE DETERIORATION IN BANK’S FINANCIAL STANDING. Economic Problems and Legal Practice, 2 => 176-186.
Reference list:
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Morgan A.F. Otsenka veroyatnosti bankrotstva rossiyskikh bankov // Ekonomika. Biznes. Banki. 2021. № 1 (51). S. 64-77.
Polozhenie Banka Rossii ot 26 marta 2007 goda N 302-P O pravilakh vedeniya bukhgalterskogo ucheta v kreditnykh organizatsiyakh, raspolozhennykh na territorii Rossiyskoy Federatsii
Ukazanie Banka Rossii ot 24.11.2016 N 4212-U O perechne, formakh i poryadke sostavleniya i predstavleniya form otchetnosti kreditnykh organizatsiy v TSentral nyy bank Rossiyskoy Federatsii (Zaregistrirovano v Minyuste Rossii 14.12.2016 N 44718) https://uchet-v-bankakh.rf/norm/norm-4212-u/4212-u-oglav.htm
Eskindarov M.A. Paradigmy tsifrovoy ekonomiki: Tekhnologii iskusstvennogo intelekta v finansakh i fintekhe: Monografiya / Pod red. M.A. Eskindarova, V.I. Solov eva. - M.: Kogito-TSentr, 2019. - 325s. - ISBN 978-5-89353-550-1
Chang Y.-C. Application of extreme gradient boosting trees in the construction of credit risk assessment models for financial institutions/ Chang Y.-C., Chang K.-H. , Wu G.-J.// Applied Soft Computing Journal Volume 73, December 2018, Pages 914-920
Gogas P. Forecasting bank failures and stress testing: A machine learning approach/ Gogas P., Papadimitriou T., Agrapetidou A.// International Journal of Forecasting Volume 34, Issue 3, July - September 2018, Pages 440-455
Golbayani P. A comparative study of forecasting corporate credit ratings using neural networks, support vector machines, and decision trees/ Golbayani P., Florescu I., Chatterjee R.// North American Journal of Economics and Finance Volume 54, November 2020
Li J.-P. Machine learning and credit ratings prediction in the age of fourth industrial revolution / Li J.-P., Mirza N., Rahat B., Xiong D.// Technological Forecasting and Social Change Volume 161, December 2020
Moscatelli M. Corporate default forecasting with machine learning/ Moscatelli M., Parlapiano F., Narizzano S., Viggiano G. // Expert Systems with Applications Volume 161, 15 December 2020, 113567
Tripathy N. Dividends and financial health: Evidence from U.S. bank holding companies / Tripathy N., Wu D., Zheng Y.// Journal of Corporate Finance Volume 66, February 2021
Brink KHenrik Mashinnoe obuchenie/ Brink KHenrik, Richards Dzhozef, Feverolf Mark - SPb.: Piter, 2017. - 336 s.: il. - (Seriya Biblioteka programmista ) - ISBN 978-5-496-02989-6
Volkova O. Vliyanie finansovykh pokazateley na mezhdunarodnye reytingi Rossiyskikh bankov / Volkova O., L vova I. // Ekonomicheskaya politika. 2016. T. 11. № 1. S. 177-195
ZHuravlev YU.I. Issledovanie vozmozhnosti prognozirovaniya izmeneniya finansovogo sostoyaniya kreditnoy organizatsii na osnove publikuemoy otchetnosti/ ZHuravlev YU.I., Sen ko O.V., Bondarenko N.N., Ryazanov V.V., Dokukin A.A., Vinogradov A.P. // Informatika i eye primeneniya 2019 T. 13. Vyp. 4. S. 30-35
Karminskiy A.M. Modeli reytingov mezhdunarodnykh agentstv/ Karminskiy A.M., Peresetskiy A.A. // Prikladnaya ekonometrika, 2007 №1(5) S. 3-19.
Morgan A.F. Otsenka veroyatnosti bankrotstva rossiyskikh bankov // Ekonomika. Biznes. Banki. 2021. № 1 (51). S. 64-77.
Polozhenie Banka Rossii ot 26 marta 2007 goda N 302-P O pravilakh vedeniya bukhgalterskogo ucheta v kreditnykh organizatsiyakh, raspolozhennykh na territorii Rossiyskoy Federatsii
Ukazanie Banka Rossii ot 24.11.2016 N 4212-U O perechne, formakh i poryadke sostavleniya i predstavleniya form otchetnosti kreditnykh organizatsiy v TSentral nyy bank Rossiyskoy Federatsii (Zaregistrirovano v Minyuste Rossii 14.12.2016 N 44718) https://uchet-v-bankakh.rf/norm/norm-4212-u/4212-u-oglav.htm
Eskindarov M.A. Paradigmy tsifrovoy ekonomiki: Tekhnologii iskusstvennogo intelekta v finansakh i fintekhe: Monografiya / Pod red. M.A. Eskindarova, V.I. Solov eva. - M.: Kogito-TSentr, 2019. - 325s. - ISBN 978-5-89353-550-1
Chang Y.-C. Application of extreme gradient boosting trees in the construction of credit risk assessment models for financial institutions/ Chang Y.-C., Chang K.-H. , Wu G.-J.// Applied Soft Computing Journal Volume 73, December 2018, Pages 914-920
Gogas P. Forecasting bank failures and stress testing: A machine learning approach/ Gogas P., Papadimitriou T., Agrapetidou A.// International Journal of Forecasting Volume 34, Issue 3, July - September 2018, Pages 440-455
Golbayani P. A comparative study of forecasting corporate credit ratings using neural networks, support vector machines, and decision trees/ Golbayani P., Florescu I., Chatterjee R.// North American Journal of Economics and Finance Volume 54, November 2020
Li J.-P. Machine learning and credit ratings prediction in the age of fourth industrial revolution / Li J.-P., Mirza N., Rahat B., Xiong D.// Technological Forecasting and Social Change Volume 161, December 2020
Moscatelli M. Corporate default forecasting with machine learning/ Moscatelli M., Parlapiano F., Narizzano S., Viggiano G. // Expert Systems with Applications Volume 161, 15 December 2020, 113567
Tripathy N. Dividends and financial health: Evidence from U.S. bank holding companies / Tripathy N., Wu D., Zheng Y.// Journal of Corporate Finance Volume 66, February 2021
Keywords:
forecasting, financial condition, machine learning, credit institutions, bank ratings.
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