Київська школа економіки, Київ, Україна
Цей документ розробляє модель раннього попередження (МРП) для мікро та макро аналізу окремих та агрегованих факторів вразливості банків в Україні. Ми застосували поетапну logit-модель для прогнозування дефолтів українських банках на основі даних групи банків та макрорівня з 1 кварталу 2009 року по 3 квартал 2019 року. Далі ми агрегували ймовірності дефолту окремих банків, щоб надати регуляторам інформацію про загальний стан фінансової системи, приділяючи особливу увагу формуванню сигналу для активації антициклічного буфера капіталу (АБК). Наші ключові висновки свідчать про те, що ймовірність дефолту, що перевищує 11%, може сигналізувати про вразливий стан банку та, в агрегованій моделі, фінансової системи взагалі. Агрегована модель успішно видає сигнал за межами вибірки про системну кризу за чотири періоди до початку кризи 2014-2015 років.
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