Факторы риска, прибыльности и вероятности дефолта в российском банковском секторе

Banks, acting as intermediaries in conducting settlements and providing liquidity to economic agents, play an important role in modern economic systems. At the same time, banking activity is associated with many risks that necessitates control from the regulator. Over the past 9 years, the Russian banking sector has experienced a transformation that resulted in a more than halving of the number of players in the banking system. However, a revoking a bank's license is not always associated with financial difficulties. In this paper, based on quarterly data on the financial statements of Russian banks for the period from mid-2013 to early 2022, using econometric methods of analysis, we estimated the factors that affect both the probability of bank default as well as other indicators of its activity – the risk of insolvency and profitability. The Z-score was used as an indicator of insolvency risk and the return on assets was used as an indicator of profitability. The results obtained showed that balance sheet ratios are significantly correlated with the probability of bank default, its risk of insolvency and profitability. The results support the “too-big-to-fail” hypothesis for the Russian banking sector, since larger banks have a lower probability of default, but a higher risk of insolvency. The insolvency risk is significantly negatively correlated with the probability of default and profitability.