ПРОБЛЕМАТИКА ОЦІНКИ МАКРОЕКОНОМІЧНОГО ВПЛИВУ НА ЙМОВІРНОСТІ КРЕДИТНОГО ДЕФОЛТУ В УМОВАХ ВИСОКОЇ НЕВИЗНАЧЕНОСТІ

Abstract

The article analyzes the current state of scientific and practical approaches to assessing the probability of credit default of financial instruments. The main scientific and practical issues related to the assessment of PD PIT financial instruments in the conditions of large-scale military aggression by Russia are defined. Specific requirements for the methodology of creating more adequate models for assessing the probability of credit default on the PIT basis, i.e. taking into account the influence of macroeconomic factors on this indicator, were also determined. The research was carried out and the process of creating mathematical models was formalized to determine the probability of credit default in the context of the impact of macroeconomic processes caused by catastrophic, but not shock, changes in the economic system and its subsequent partial recovery due to military events. The authors concluded that there is currently a significant shortage of simulation experience in military settings, which makes it difficult to develop an adequate assessment methodology. The possibility of building a complex family of PITTTC models, which directly relate system-sensitive probabilities to the corresponding PD TTC stress values, was investigated. The possibilities and limitations of the application of the PITTTC family of models to determine the probabilities of credit default in conditions of high uncertainty caused by the war, which is still ongoing, are analyzed. Thus, this work substantiates the need for a complete revision of the methodology for assessing the probability of credit default in conditions of high uncertainty in the risky economic environment caused by military actions. It is also determined that the new methodology should solve the problem not only of the lack of historical data for the validation of relevant models, but also to create new assessment models that should correspond to the current crisis state of the Ukrainian economy. The work suggests specific ways for further research into this problem.