| Autor: |
S. I. Makarov, M. A. Boldyrev |
| Rok vydání: |
2021 |
| Předmět: |
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| Zdroj: |
Global Challenges and Prospects of The Modern Economic Development Proceedings of Global Challenges and Prospects of The Modern Economic Development (GCPMED 2020), 15-16 December, 2020, Samara State University of Economics, Samara, Russia. |
| ISSN: |
2357-1330 |
| DOI: |
10.15405/epsbs.2021.04.02.41 |
| Popis: |
The analysis of the reliability of modeling the risk of default by Russian companies on bonds using boolean variables is carried out. There were analyzed 80 financial ratios, 80 average values of financial ratios for 2 years of companies' operation, as well as 28 indicators of the dynamics of the financial condition of companies. The developed mathematical models take into account the financial ratios that characterize the company's activities in the reporting year; relative deviations of financial indicators of the company's performance in comparison with the year preceding the reporting year; as well as the average values of the investigated financial ratios for 2 years of the company's operation. The developed logit model makes it possible to reliably assess the risk of default in 86% of the companies studied; the developed probit model allows to reliably assess the risk of default in 84% of the companies studied. The applicability of Boolean variables to the assessment of the risk of default by Russian companies on securities is investigated (Fisher's criterion is used). The ranking of Boolean variables according to the effectiveness of modeling the risk of default by Russian companies on bonds was carried out (the method of one-factor regression was used). A comparative analysis of the results of ranking Boolean variables and the previously obtained results of ranking other financial indicators in terms of the effectiveness of modeling the risk of default by Russian companies on bonds is also carried out. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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