RUSSIAN BANKS CLASSIFICATION BASED ON THE INTERNAL INDICATORS OF REPORTING

his article compares approaches to assessing the impact of internal reporting indicators of Russian banks on assessing financial stability and the formation of a credit rating. Figures from annual reports of Russian banks in the balance sheet section and cash flow statement section were used as factors for model. In order to assess the probability of default of Russian banks, Moody’s Investors Services’s long‑term international foreign currency rating was used. Credit ratings are opinions about credit risk. The rating expresses opinions of agencies on the ability and readiness of the issuer, for example, a corporation, a state or a municipality, to fulfill financial obligations in a timely and complete manner. Each rating agency has its own methodology to assess the credit rating, but usually it is a qualitative measure, as a result, it is impossible to find out which factor has a greater impact on the financial stability of the bank. Unsupervised training methods allow analyzing the internal reporting indicators of Russian banks objectively in order to assess the financial sustainability of an organization. This paper presents a comparison of three methods ‑ the k‑means method, the k‑medoid method, the Gaussian mixtures model. A comparison of the obtained clusters and the actual credit ratings will allow us to identify the indicators that have the greatest and the least impact. Because all unsupervised training methods are robust classification methods, the initial data sampling needs to be prepared by a feature space reduction procedure.

bank default assessment, unsupervised training, classification, k‑mean method, k‑medoids method, Gaussian mixture model, financial sustainability, public Russian banks, private Russian banks, multivariable analysis, credit rating.

Chelyshev D. S. Russian banks classification based on the internal indicators of reporting. Business. Education. Law, 2019, no. 4, pp. 296–303. DOI: 10.25683/VOLBI.2019.49.429.