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A direct method for calculating default rates by industry and targetcorporate segments is not possible given the lack of statistical data. Theproposed paper considers a model for filtering the dynamics of the probabilityof default of corporate companies and other borrowers based on indirect data onthe dynamics of overdue debt supplied by the Bank of Russia. The model is basedon the equation of the balance of total and overdue debts, the missing links ofthe corresponding time series are built using the Hodrick_Prescott filteringmethod. In retail lending segments (mortgage, consumer lending), defaultstatistics are available and supplied by Credit Bureaus. The presented methodis validated on this statistic. Over a historical limited period, validationhas shown that the result is trustworthy. The resulting default probabilityseries are exogenous variables for macro_economic modelling of sectoral creditrisks.

Method of indirect estimation of default probability dynamics for industry-target segments according to the data of Bank of Russia