11th EBES Conference Proceedings
This conference proceeding includes selected full papers from the 11th EBES Conference – Ekaterinburg. We have accepted papers among resubmitted full papers after the conference ended. In this proceeding you will find a snapshot of topics that are presented in the conference. As expected, our conference has been an intellectual hub for academic discussion for our colleagues in the areas of economics, finance, and business. Participants found an excellent opportunity for presenting new research, exchanging information and discussing current issues. We believe that this conference proceeding and our future conferences will improve further the development of knowledge in our fields.
The objective of the paper is to investigate and compare risk patterns in retail and corporate segments and assess the potential impact of macroeconomic shocks on loan quality. Banks’ monthly financial statements data for the period 2004–2012 are used. Firstly, we develop an indicator to measure institution’s credit risk that reflects variance and average value of NPL corrected for loan loss reserves. It is used to compare the risk-return patterns of largest state - owned banks, and under our framework we identify how the strategies of various banks differ in retail and corporate loans, identifying ‘safest’ and ‘riskiest’ institutions. Secondly, loan growth and credit risk sensitivity to macroeconomic shocks is analyzed using vector auto regression. Macroeconomic shocks do not significantly increase NPL growth in corporate segment. However, inflation and investment growth have considerable impact on NPL growth in retail segment (which is however almost three times less than the corporate). Based on these findings we conclude that there is no reason to expect rampant rise in corporate loan defaults in response to exceptional sudden changes in macroeconomic environment in Russia, though further growth of corporate loan segment increases credit risk, while the opposite is true about the retail sector.
Evaluation of business can be determined not only from the financial point of view, but also with a help of defining its efficiency and the level of its competitiveness. Promptness of this evaluation is formed by using of rating system. Ratings represent instrument that is both informative and relatively cheap in implementing due to the usage of analysis which is based on streaming technologies. That paper provides both methodology, and methodical, informational and algorithmic prerequisites of forming process of construction companies’ rating. Also, features of competitiveness ratings, their purpose and structure, mission and tasks are considered. Special attention is paid on such kinds of construction companies that are involved in engineering survey, design of buildings and construction field. Significant attention is given to hierarchy of ratings, which includes remote, questionnaire and contact ratings. Furthermore, this paper describes constructor of ratings that uses non-parametric methods and dynamics of selected quality indicators and rating in general. Specific examples are considered in relation to the building complex of Russia.
The paper presents the structural model of decision-making process on the residential mortgage market. We empirically estimates key drivers of mortgage borrowing, underwriting, and default process by jointly using market-level monthly data and loan-level data from regional branch of Agency of Home Mortgage Lending (AHML). The multistep estimation procedure allows correcting for sample selection bias and endogeneity and provides consistent parameter estimates. Obtained results shows that risk preferences are changing during the time and AHML borrowers are relatively high risky.