ANALYSIS OF THE EFFICIENCY OF MODELING THE RISK OF NON-FULFILLMENT OF OBLIGATIONS OF RUSSIAN COMPANIES ON BONDS USING MODELS DEVELOPED WITH A THREE-STEP METHOD
Logit-model and probit-model for assessing the risk of default of Russian companies on securities, developed using a three-step method, are presented. The analysis of effectiveness of modeling the risk of default of Russian companies on securities using the developed logit-model and probit-model is conducted. The dependence of the effectiveness of modeling the risk of default of Russian companies on bonds on the applied interval estimates of high and low risk of default of Russian companies on securities is investigated. Optimal interval estimates of high and low risk of default of companies on bonds have been determined, which provide the most effective modeling of the risk of default of Russian companies on bonds using the developed logit-model and probit-model.