We propose the study of the relevant factors for the survival of Russian commercial banks during the transition period. The accelerated development of the Russian commercial banking industry after the banking reform caused high rates of entry followed by a period of high rates of exit. As a consequence, many banks had to exit the market without refunding their deposits. Therefore, both for the banks and for the banks' depositors, it is of interest to identify the relevant factors that motivate the exit or the closing of the bank. We propose a different methodology based on penalized weighted least squares that represents a very general, flexible and innovative approach for this type of analysis. That is, the proposed methodology does not require the assumptions of a probability distribution for the variable under study or of any covariate parametric functional form for the covariate whose effect on the survival variable we wish to address. Copyright © 2010 John Wiley & Sons, Ltd.