How Do Russian Banks Evaluate the Retail Credit Risks?

Henry Penikas, Darya Savenko

2021

Abstract

We use novel data for the lending rate offers by the Russian banks since November 2020 to April 2021. The data source is the aggregator website banki.ru. It had initially retail loan offers from 19 banks. We control for the cost of funding and the bank’s risk-appetite in terms of the Return on Equity (ROE). As the result, we are able to decompose the lending rate into transaction- and bank-specific components. As with the research on the international banks for the variability in the risk-weights we find that the banks running IRB approach tend to evaluate retail credit risk higher and set higher interest rates. Banks with the foreign ownership, inversely, tend to price in lower risk all else being equal and set lower lending rates. The narrow segment of banks with the available planned ROE data allow us to say that the state-owned banks evaluate the retail credit risk and set the rates higher, though the magnitude is lower than for the IRB impact. For the narrow segment also we do not find statistically significant differences in the risk assessment for the listed banks, though we see that they impose higher lending rates all else being equal.

Paper Citation

in Harvard Style

Penikas H. and Savenko D. (2021). How Do Russian Banks Evaluate the Retail Credit Risks?. In Proceedings of the International Scientific-Practical Conference "Ensuring the Stability and Security of Socio-Economic Systems: Overcoming the Threats of the Crisis Space" - Volume 1: SES, ISBN 978-989-758-546-3, pages 354-363. DOI: 10.5220/0010704800003169

in Bibtex Style

@conference{ses21,
author={Henry Penikas and Darya Savenko},
title={How Do Russian Banks Evaluate the Retail Credit Risks?},
booktitle={Proceedings of the International Scientific-Practical Conference "Ensuring the Stability and Security of Socio-Economic Systems: Overcoming the Threats of the Crisis Space" - Volume 1: SES,},
year={2021},
pages={354-363},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0010704800003169},
isbn={978-989-758-546-3},
}

in EndNote Style

TY - CONF

JO - Proceedings of the International Scientific-Practical Conference "Ensuring the Stability and Security of Socio-Economic Systems: Overcoming the Threats of the Crisis Space" - Volume 1: SES,
TI - How Do Russian Banks Evaluate the Retail Credit Risks?
SN - 978-989-758-546-3
AU - Penikas H.
AU - Savenko D.
PY - 2021
SP - 354
EP - 363
DO - 10.5220/0010704800003169