voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2019-3-101-118voprecotest-2153Research ArticleФИНАНСОВАЯ ЭКОНОМИКАFINANCIAL ECONOMICSОценка финансовой устойчивости российских промышленных компаний, или О чем говорят банкротстваModelling financial distress of Russian industrial companies, or What bankruptcy analysis can tellМогилатА. Н.MogilatAnastasia N.

Могилат Анастасия Николаевна, начальник отдела Департамента денежно-кредитной политики 

Москва

Moscow

mogilatan@cbr.ruБанк РоссииРоссияBank of RussiaRussian Federation20190703201903101118Copyright © Voprosy Ekonomiki, NP, 20192019Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/2153

В статье предложен подход к эконометрической оценке рисков финансовой устойчивости российских промышленных компаний. Этот подход учитывает как мировой опыт подобных исследований, так и особенности российских данных, включая относительную редкость события «банкротство» в выборке, ненаблюдаемую проблемность одних компаний и ложную проблемность других. Тестирование разработанного метода на данных большой выборки российских компаний (около 97 тыс. юридических лиц в год, в общей сложности — свыше 1 млн компаний) показало значительное улучшение качества прогнозной силы по сравнению с известными в литературе аналогами. Полученные результаты можно использовать для уточнения мер антикризисной поддержки компаний и отраслей в условиях воздействия различных шоков, а также для оценки перспективных направлений адресной государственной поддержки отраслей промышленности.

We develop an econometric method for estimating risks of financial distress among Russian industrial companies. It deals with international experience in the field of financial stability analysis as well as with the features of Russian data, including the following two. Firstly, bankruptcy is a rare event in the sample of Russian industrial companies. Secondly, not all of the companies become bankrupt by economic reasons. At the same time, not all of the companies that face financial problems become bankrupt. We have tried the developed method using a wide sample of Russian companies (appr. 97 000 firms a year, more than a million firms all in all). As a result, the method shows a significant shift in the ability of the model to predict financial distress risks in comparison to other suitable methods. Results and conclusions made in the paper can help clarify anti-crisis macroeconomic policy as well as reveal Russian industries to focus on.

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The authors declare that there are no conflicts of interest present.