Probability of default models of Russian banks

This paper presents results from an econometric analysis of Russian bank defaults during the period 1997–2003, focusing on the extent to which publicly available information from quarterly bank balance sheets is useful in predicting future defaults. Binary choice models are estimated to construct the probability of default model. We find that preliminary expert clustering or automatic clustering improves the predictive power of the models and incor-poration of macrovariables into the models is useful. Heuristic criteria are suggested to help compare model performance from the perspectives of investors or banks supervision authorities. Russian banking system trends after the crisis 1998 are analyzed with rolling regressions.banks; Russia; probability of default model; early warning systems

An Analysis of Ratings of Russian Banks

Since the recent financial crisis, both the Russian business community and foreign investors have started to make more and more use of ratings of the reliability of Russian banks, i.e., their ability to meet interest and repayment commitments to the investors.In response to this, the number of rating agencies has increased over the past few years.In this paper, existing ratings are analyzed and compared using ordered probit models that explain bank ratings from bank characteristics such as size indicators and financial ratios characterizing profitability, or default risk on loans given.Moreover, on the basis of a survey among financial experts, models for expert ratings are constructed and results are compared to those for the agency ratings.We find that agency and expert ratings of virtual banks are largely in line with each other, but there are also some differences.For example, liquidity measures are important for agency ratings but insignificant for the expert ratings.Moreover, we find some surprising differences between expert ratings of real banks and expert ratings of virtual banks.While overdue loans are important for the virtual banks, they play no role in either the agency ratings or the expert ratings of real banks.An explanation may be that banks manage to mask the actual number of overdue loans.

Models for Moody’s bank ratings

The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody’s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Finan-cial Strength Ratings (BFSR), taking into account “external bank support factors” (joint-default analysis, JDA). Models for the (unobserved) external support are presented, and we find that models based solely on public infor-mation can approximate the ratings reasonably well. It appears that the ob-served rating degradation can be explained by the growth of the banking sys-tem as a whole. Moody’s has a special approach for banks in developing countries in general and for Russia in particular. The models help reveal the factors that are important for external bank support

Comparison of Bank Credit Ratings for Various Agencies

Article proposes comparative studies of credit ratings of the leading Russian and international rating agencies. We analyze approaches and the possibility of comparison of agencies’ rating scales. Purpose of this analysis is to propose method and describe the criteria for comparison of rating scales and the possibility of using standard econometric models. We demonstrate the dynamics and development of rating business in Russia, problems and prospects of creating the unified rating area. A detailed comparative analysis of rating scales is focused on Russian banks. Database for empirical study includes 370 banks with at least one contact rating in the period 2006–2010. Similar research has also been carried out for international banks on the sample of 1995–2010 years. It consists of representatives of more than 80 countries. Conclusions provided for ten most commonly used bank ratings in Russia including scales of largest international rating agencies. Results may be used by regulators and commercial banks as part of the risk management methodologies and tender indicators.credit rating, bank, comparative analysis, rating scale, risk-management

Models for Moody’s bank ratings

The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody’s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Finan-cial Strength Ratings (BFSR), taking into account “external bank support factors” (joint-default analysis, JDA). Models for the (unobserved) external support are presented, and we find that models based solely on public infor-mation can approximate the ratings reasonably well. It appears that the ob-served rating degradation can be explained by the growth of the banking sys-tem as a whole. Moody’s has a special approach for banks in developing countries in general and for Russia in particular. The models help reveal the factors that are important for external bank support

Моделирование рейтингов российских банков

The paper presents econometric analysis of the of Russian banks ratings, and the experts’ opinion based on a survey, designed in a framework of the project. From the ratings and the survey we derived the factors that in the experts’ opinion and in the rating agencies’ opinion are most important for bank reliability. The models of the ratings and experts’ opinions were designed for real and virtual banks. We constructed the model ratings of the Russian banks. These models use only publicly available information and hence could be used as an early warning system of the current bank reliability

Моделирование рейтингов российских банков

The paper presents econometric analysis of the of Russian banks ratings, and the experts’ opinion based on a survey, designed in a framework of the project. From the ratings and the survey we derived the factors that in the experts’ opinion and in the rating agencies’ opinion are most important for bank reliability. The models of the ratings and experts’ opinions were designed for real and virtual banks. We constructed the model ratings of the Russian banks. These models use only publicly available information and hence could be used as an early warning system of the current bank reliability

Macro-financial linkages and bank behaviour: evidence from the second-round effects of the global financial crisis on East Asia

This paper studies the link between macro-financial variability and bank behaviour, which justifies the second-round effects of the global financial crisis on East Asia. Following Gallego et al. (The impact of the global economic and financial crisis on Central Eastern and South Eastern Europe (CESEE) and Latin America, 2010), the second round effects are defined as the adverse feedback loop from the slumps in economic activities and sharp financial market deterioration, which may influence the financial performance of bank, inter alia via deteriorating credit quality, declining profitability and increasing problems in retaining necessary capitalization. Differentiating itself from other research, this study stresses adjustments in four dimensions of bank performance and behaviour: asset quality, profitability, capital adequacy, and lending behaviour, assuming that any change in a bank-specific characteristic is induced by endogenous adjustments of the others. The empirical results based on partial adjustment models and two-step system GMM estimation show that bank’s adjustment behaviour is subject to the variation in the macro-financial environment and the stress condition in the global financial market. There is no convincing evidence to support the effectiveness of policy rate cut to boots bank lending and to avoid a financial accelerator effect

Preliminary safety and efficacy of first-line pertuzumab combined with trastuzumab and taxane therapy for HER2-positive locally recurrent or metastatic breast cancer (PERUSE).

BACKGROUND: Pertuzumab combined with trastuzumab and docetaxel is the standard first-line therapy for HER2-positive metastatic breast cancer, based on results from the phase III CLEOPATRA trial. PERUSE was designed to assess the safety and efficacy of investigator-selected taxane with pertuzumab and trastuzumab in this setting. PATIENTS AND METHODS: In the ongoing multicentre single-arm phase IIIb PERUSE study, patients with inoperable HER2-positive advanced breast cancer (locally recurrent/metastatic) (LR/MBC) and no prior systemic therapy for LR/MBC (except endocrine therapy) received docetaxel, paclitaxel or nab-paclitaxel with trastuzumab [8\u2009mg/kg loading dose, then 6\u2009mg/kg every 3\u2009weeks (q3w)] and pertuzumab (840\u2009mg loading dose, then 420\u2009mg q3w) until disease progression or unacceptable toxicity. The primary end point was safety. Secondary end points included overall response rate (ORR) and progression-free survival (PFS). RESULTS: Overall, 1436 patients received at least one treatment dose (initially docetaxel in 775 patients, paclitaxel in 589, nab-paclitaxel in 65; 7 discontinued before starting taxane). Median age was 54\u2009years; 29% had received prior trastuzumab. Median treatment duration was 16\u2009months for pertuzumab and trastuzumab and 4\u2009months for taxane. Compared with docetaxel-containing therapy, paclitaxel-containing therapy was associated with more neuropathy (all-grade peripheral neuropathy 31% versus 16%) but less febrile neutropenia (1% versus 11%) and mucositis (14% versus 25%). At this preliminary analysis (52 months' median follow-up), median PFS was 20.6 [95% confidence interval (CI) 18.9-22.7] months overall (19.6, 23.0 and 18.1\u2009months with docetaxel, paclitaxel and nab-paclitaxel, respectively). ORR was 80% (95% CI 78%-82%) overall (docetaxel 79%, paclitaxel 83%, nab-paclitaxel 77%). CONCLUSIONS: Preliminary findings from PERUSE suggest that the safety and efficacy of first-line pertuzumab, trastuzumab and taxane for HER2-positive LR/MBC are consistent with results from CLEOPATRA. Paclitaxel appears to be a valid alternative taxane backbone to docetaxel, offering similar PFS and ORR with a predictable safety profile. CLINICALTRIALS.GOV: NCT01572038

Final results from the PERUSE study of first-line pertuzumab plus trastuzumab plus a taxane for HER2-positive locally recurrent or metastatic breast cancer, with a multivariable approach to guide prognostication

Background: The phase III CLinical Evaluation Of Pertuzumab And TRAstuzumab (CLEOPATRA) trial established the combination of pertuzumab, trastuzumab and docetaxel as standard first-line therapy for human epidermal growth factor receptor 2 (HER2)-positive locally recurrent/metastatic breast cancer (LR/mBC). The multicentre single-arm PERtUzumab global SafEty (PERUSE) study assessed the safety and efficacy of pertuzumab and trastuzumab combined with investigator-selected taxane in this setting. Patients and methods: Eligible patients with inoperable HER2-positive LR/mBC and no prior systemic therapy for LR/mBC (except endocrine therapy) received docetaxel, paclitaxel or nab-paclitaxel with trastuzumab and pertuzumab until disease progression or unacceptable toxicity. The primary endpoint was safety. Secondary endpoints included progression-free survival (PFS) and overall survival (OS). Prespecified subgroup analyses included subgroups according to taxane, hormone receptor (HR) status and prior trastuzumab. Exploratory univariable analyses identified potential prognostic factors; those that remained significant in multivariable analysis were used to analyse PFS and OS in subgroups with all, some or none of these factors. Results: Of 1436 treated patients, 588 (41%) initially received paclitaxel and 918 (64%) had HR-positive disease. The most common grade 653 adverse events were neutropenia (10%, mainly with docetaxel) and diarrhoea (8%). At the final analysis (median follow-up: 5.7 years), median PFS was 20.7 [95% confidence interval (CI) 18.9-23.1] months overall and was similar irrespective of HR status or taxane. Median OS was 65.3 (95% CI 60.9-70.9) months overall. OS was similar regardless of taxane backbone but was more favourable in patients with HR-positive than HR-negative LR/mBC. In exploratory analyses, trastuzumab-pretreated patients with visceral disease had the shortest median PFS (13.1 months) and OS (46.3 months). Conclusions: Mature results from PERUSE show a safety and efficacy profile consistent with results from CLEOPATRA and median OS exceeding 5 years. Results suggest that paclitaxel is a valid alternative to docetaxel as backbone chemotherapy. Exploratory analyses suggest risk factors that could guide future trial design