THE CREDIT ORGANIZATIONS FINANCIAL STATE FORECASTING BASED ON SINGULAR-SPECTRAL ANALYSIS
https://doi.org/10.26583/vestnik.2025.1.5
EDN: RKSSFZ
Abstract
Singular spectrum analysis is successfully applied in many practical problems of mathematical modeling, including economic ones. The purpose of this work is to develop a new mathematical approach for forecasting the values of key performance indicators of credit institutions (“Profit”, “Accounts with the Bank of Russia”, “Securities”), presented as time series with an observation step of one month. The analysis and forecasting of key indicators was carried out using singular spectrum analysis by the “Caterpillar”-SSA method in the CaterpillarSSA program. The relevance of the study is due to the need to implement new efficient computing technologies for the early warning systems of the Bank of Russia and Rosfinmonitoring. The article presents the implementation of the “Caterpillar”-SSA method for assessing the financial condition of two types of credit institutions: a bank with a revoked license (JSC Bank “CCB”) and a reliable bank (JSC “TBank”). The authors managed to implement the decomposition of time series of key indicators into a trend, harmonic and noise components. Based on the principal components responsible for the trend and periodicity, the reconstruction and forecasting of the considered time series for 6 months ahead were performed with high accuracy
About the Authors
V. V. Ivanov
Joint Institute for Nuclear Research;
National Research Nuclear University “MEPhI”
Russian Federation
Russian Federation
A. V. Kryanev
National Research Nuclear University “MEPhI”;
Joint Institute for Nuclear Research
Russian Federation
Russian Federation
A. S. Prikazchikova
National Research Nuclear University “MEPhI”
Russian Federation
Russian Federation
E. P. Akishina
Joint Institute for Nuclear Research
Russian Federation
Russian Federation
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Review
For citations:
Ivanov V.V., Kryanev A.V., Prikazchikova A.S., Akishina E.P. THE CREDIT ORGANIZATIONS FINANCIAL STATE FORECASTING BASED ON SINGULAR-SPECTRAL ANALYSIS. Vestnik natsional'nogo issledovatel'skogo yadernogo universiteta "MIFI". 2025;14(1):50-63. (In Russ.) https://doi.org/10.26583/vestnik.2025.1.5. EDN: RKSSFZ
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