OTC market and the threat of bank default in the macroeconomic environment

OTC market is a responsible segment of banks' activity, especially at the macroeconomic level. Just like the cash market, it is a complex multi-factor structure, within which the risks of insolvency are quite high. When modeling and studying the correlation of existing defaults with the nominal value of bank assets in international practice, when estimating the probability of default, the method of asset portfolio moments is widely used, which is known as the asset-value approach. In addition to it, the maximum likelihood approach can also be applied.

OTC market and its features suggest that to determine the annual probability of default requires information as follows:

1. Number of operating commercial banks as of the beginning of each calendar year for the search period;

2. The number of commercial banks, which are characterized by the fact of default, namely the subsequent liquidation based on the decision of higher authorities to liquidate a commercial bank, on suspending or revoking a license in connection with subsequent liquidation, and filing a statement of claim with a court to declare the bank bankrupt.

Calculation of the default rate of commercial banks in the period of time t is equal to the number of defaults divided by the maximum number of defaults, and is determined by the formula:

(Do (Dt-1)) / 2 _ Do (Do-l) P (Not (Nt-1)) / 2 "Not (Nt-1) P. 106L,

Where: p2av is the annual probability of default of any single commercial bank of the system. At the same time, we eliminate the influence of internal and external factors of the functioning of commercial banks of the system and take into account only the influence of the factor reflecting the number of banks for which the fact of default is characteristic; Dt - the number of system elements that are assigned the default status for the selected period of time t; Nt - the number of functioning banks for the selected period of time t; T is a time interval equal to one calendar year.

The annual probability of default should be compared with the selected indicators of the macroeconomic environment (what the over-the-counter or corporate securities market assumes ) to establish the existence of a linear regression relationship. The existence of such a dependence will serve as evidence of the hypothesis put forward about the actual existence of a link between the closure of commercial banks and the changes occurring in such an environment, and then, based on the constructed linear regression equations, it will also be possible to predict changes in selected macroeconomic indicators, hypothetically changing the number of liquidated commercial banks.

The degree of correlation between the annual probability of default and the macroeconomic environment characterizes the correlation coefficient, if it is in the interval or from -1 to +1, then we can speak of a linear regression relationship between two sets of discrete data.

The macroeconomic environment of the state can be characterized by countless indicators, but at the moment we are only interested in those of them whose linear regression dependence on the annual probability of default can be proved for the purity of the experiment. It should be noted that most of the economic indicators may have a correlation dependence on the annual probability of default, but the over-the-counter market is arranged in such a way that such dependence is non-functional, and therefore its availability may be subjective.

This analysis allows us to state that there is a pronounced cause-and-effect relationship between such an indicator as the annual probability of default and the macroeconomic environment. Thus, the closure of commercial banks is associated with a reduction in foreign exchange resources placed by credit institutions of other countries, which adversely affects the investment position and leads to an increase in the net domestic credit of government.