Under the Basel II accord, improving probability of default models is a key risk-management priority. There are four main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian banking statistics from 1998 to 2011); investigating the...

This paper investigates the relationship between operating cost efficiency and the loan quality of Russian banks. It tries to answer the question whether it is always beneficial for banks to be highly cost efficient (the “bad management” hypothesis) or whether this higher cost efficiency...