STUDY OF THE DISCRIMINATORY ABILITY OF ROA AND ROE FINANCIAL RATIOS TO IDENTIFY PROBLEM BANKS (RUSSIAN EXPERIENCE)

UDC 336: 519.2
DOI: DOI: 10.36871 / 2618-9976.2021.01.004

Authors

Byvshev Viktor Alekseevich
Professor, Doctor of Technical Sciences, Financial University under the Government of the Russian Federation, Moscow, Russia
Prokopchina Svetlana Vasil’evna
Professor, Doctor of Technical Sciences, Financial University under the Government of the Russian Federation, Moscow, Russia
Mishchenko Svetlana Nikolaevna
Chief Financial Officer, SCIENTIFIC LIBRARY Publishing House, Moscow, Russia

Abstract

The approach is to construct a generalized linear regression model with a dependent variable of the indicator of default of the Bank. The explanatory variables in this model are the financial coefficients ROA and ROE. According to the constructed model, the ROC curve is reconstructed and the Gini coefficient is calculated, which serves as a quantitative measure of the discriminative ability of the exogenous variables ROA and ROE to explain the bank default.

Keywords

Financial analysis
ROA
ROE
Discriminative ability
Gini coefficient