The OTC market is a responsible segment of banks, especially at the macroeconomic level. As well as the cash market, it is a complex multifactorial structure, within which the risks of insolvency are quite high. When modeling and studying the correlations of defaults with the nominal value of bank assets in international practice, when assessing the probability of default, the asset portfolio moments method, which is known as the asset-value approach, is widely used. In addition to it, the maximum likelihood approach can also be used.
OTC market and its features, suggest that to determine the annual probability of default, the following information is required:
1. The number of operating commercial banks at the beginning of each calendar year for the period;
2. The number of commercial banks that are characterized by a fact of default, namely, subsequent liquidation on the basis of a decision of higher authorities on liquidation of a commercial bank, on suspension or revocation of a license in connection with subsequent liquidation, as well as filing a lawsuit in court to declare a bank bankrupt.
The calculation of the default rate of commercial banks in time t equals 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 default probability of any individual commercial system bank. At the same time, we eliminate the influence of internal and external factors of the functioning of the commercial banks of the system and take into account only the influence of a factor that reflects the number of banks that are characterized by a default; Dt is the number of system elements that are assigned default status for a selected period of time t; Nt is the number of functioning banks for a selected period of time t; t is a time interval equal to one calendar year.
The values of the annual default probability should be compared with the selected indicators of the macroeconomic environment (what the OTC market or corporate securities market implies ) to establish the existence of a linear regression dependence. The presence of such a dependence will serve as a proof of the hypothesis put forward that there is a real connection between the closure of commercial banks and changes taking place in such an environment, and subsequently, 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 range or equal from -1 to +1, then we can talk about a linear regression dependence between two series of discrete data.
The macroeconomic environment of the state can be characterized by countless indicators, however, at present we are only interested in those 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 economic indicators may have a correlation with the annual probability of default, however, the OTC market is designed in such a way that this dependence is non-functional, and therefore its presence may be subjective.
This analysis allows us to state that between such an indicator as the annual probability of default and the macroeconomic environment, there is a pronounced causal relationship. Thus, the closure of commercial banks is associated with a reduction in foreign exchange resources allocated by credit institutions of other countries, which negatively affects the investment position and leads to an increase in the size of net internal credit of government bodies.