Исследование детерминант системной значимости страховых компаний. (Окончание)
Банковское дело. 2014. № 8. С. 44-52.
Penikas H. I., Петров В. С.
It is important to determine systemically principal insurance companies not only in the world as a whole but inside each country also. This paper is devoted to the identification of the financial coefficients interrelated with the indicator of systemic weight of insurance companies and estimation of this relationship in order to facilitate application of the criteria created by International Association of Insurance Supervisors.
, , Банковское дело 2014 № 7 С. 28-34
It is important to determine systemically principal insurance companies not only in the world as a whole but inside each country also. This paper is devoted to the identification of the financial coefficients interrelated with the indicator of systemic weight of insurance companies and estimation of this relationship in order to facilitate application of the ...
Added: August 25, 2014
, , Eurasian Economic Review 2014 Vol. 4 No. 1 P. 81-98
We compare several models for estimating the default probabilities of Russian banks using national statistics from 1998 to 2011, and find that a binary logit regression with a quasi-panel data structure works best. We conclude that there is a quadratic U-shaped relationship between a bank's capital adequacy ratio and its probability of default. In addition, ...
Added: November 8, 2013
Низкодефолтные кредитные портфели в «Базель II» и «Базель III» как частный случай существенно несбалансированных классов в моделях бинарного выбора
, Деньги и кредит 2020 Т. 79 № 2 С. 101-128
In contemporary world, binary choice models are used in many areas. However, for all such areas, a problem arises when the share of one of the classes in the data sample is small. If this share is significantly small, this class is referred to as low default class. The purpose of this paper is to ...
Added: June 29, 2020
, Вопросы экономики 2012 № 9 С. 25-40
In the paper some prominent features of a modern financial system are studied using the model of leverage dynamics. Asset securitization is considered as a major factor increasing aggregate debt and hence systems uncertainty and instability. A simple macrofinancial model includes a logistic equation of leverage dynamics that reveals origins of a financial bubble, thus ...
Added: November 14, 2012
, , / Высшая школа экономики. Серия FE "Financial Economics". 2015.
In the light of recent economic and geopolitical shocks in 2008–2015 in Russia, the stability of Russian banks has become an urgent issue. Since 2013, we have observed an increasing number of failed Russian banks with negative capital. Most often, these banks falsify their financial reporting to conceal that their liabilities exceed the assets available. ...
Added: October 20, 2015
Биномиальный тест для коррелированных бинарных случайных величин для проверки точности рейтинговой модели
, , Управление финансовыми рисками 2018 Т. 55 № 03 С. 174-190
The article explains the difference between asset correlation and default correlation, compares the distribution of defaults for normally distributed and binary random variables. The authors show the inadequacy of the binomial test with correlation under the Basel II since it is ignoring the bimodality of the empirical default distribution. The study shows how to validate ...
Added: September 8, 2018
«Дыры» в капитале компаний обрабатывающей промышленности: корпоративное управление и отраслевые ожидания
, , Журнал Новой экономической ассоциации 2018 Т. 38 № 2 С. 76-103
In the second half of the 2000s there has been a decline of the high concentration of ownership in Russian manufacturing industry. Structural shifts in corporate governance affect the financial stability of companies. In this paper, using logistic regression we investigate the impact of corporate governance factors and sector expectations on a negative net worth ...
Added: October 17, 2017
, Финансы и кредит 2020 Т. 26 № 11 С. 2567-2593
Subject. The study addresses the improvement of risk management efficiency and the quality of lending decisions made by banks. Objectives. The aim is to present the bank management with a fair algorithm for risk management motivation on the one hand, and the credit management (business) on the other hand. Within the framework of the common goal to maximize ...
Added: December 16, 2020
Исследование взаимосвязи параметров моделей внутренних рейтингов оценки кредитного риска — вероятности дефолта и доли убытка при дефолте (часть 2)
, , Управление финансовыми рисками 2015 Т. 42 № 2 С. 82-102
Nowadays capital adequacy ratio is one of the most important indicators for a bank that reflects its ability to absorb losses in cases its borrowers default. To estimate capital adequacy ratio within internal ratings based approach probability of default and loss given default are considered. This work is novel to be first to investigate the ...
Added: July 5, 2015
, , / University of Pavia. Series DEM "Department of Economics and Management Working Paper Series". 2015. No. 113.
Research is devoted to examination of the classifier, based on copula discriminant analysis (CODA). Performance of the classification of this algorithm was assessed. On samples, modelled with some typical features of corporate default data, sensitivity of the classifier was tested, to sample size, to default rate and to different patterns of variables’ interdependence. Alternative copula ...
Added: January 11, 2016
, , , / Высшая школа экономики. Series FE "Financial Economics". 2012. No. WP BRP 06/FE/2012.
Under the Basel II accord, improving probability of default models is a key risk-management priority. There are four main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian banking statistics from 1998 to 2011); investigating the macroeconomic and institutional characteristics of the banking sector environment and finally, testing ...
Added: December 10, 2012
, , , International Journal of Banking, Accounting and Finance 2021 Vol. 12 No. 4 P. 347-367
Conventional stress-testing in credit risk management may considerably underestimate economic losses associated with the most negative scenarios. In this paper, we show that in order to properly stress-test credit risk, we need to derive initially the default correlation among assets or companies. Then a risk measure needs to be applied to the stressed default rate ...
Added: September 14, 2021
, , Банковское дело 2013 № 11(239) С. 68-74
In July 2013. Basel Committee on Banking Supervision published a new version of the document concerning the identification and regulation of systemically important financial institutions. In this paper modified version of the Basel Committee’s method is proposed, taking into account the features of the banking sector in Russia and approbation of the proposed method on ...
Added: December 5, 2013
, , Model Assisted Statistics and Applications 2017 Vol. 12 No. 4 P. 335-358
The capital adequacy ratio is one of the important regulatory requirement for banks, which indicates its willingness to cover losses in the event of borrowers’ defaults. The Probability of Default (PD) and Loss Given Default (LGD) are two core parameters of the internal risk rating models used to calculate regulatory capital under the assumption that ...
Added: December 13, 2017
, Корпоративные финансы 2017 Т. 11 № 3 С. 79-99
In this paper, we have estimated the probability for default in large construction companies in Russia using the classic method for this purpose – logistic regression. Our task incorporates testing corporate governance factors and analyzing the predictive power of the model with regularization (Lasso and Ridge). For the dependent variable, we tested four definitions of default and then ...
Added: October 17, 2017
, , , Экономический журнал Высшей школы экономики 2016 Т. 20 № 1 С. 9-51
This paper analyzes the basic credit risk parameters in residential mortgage lending and its evaluation with focusing on loss given default. We develop the method for the loss given mortgage default evaluation based on the econometric model for the probability of mortgage default, approximation value of collateral and residual loan amount in analyzing time horizon ...
Added: February 8, 2016
Управление кредитным риском в банке: подход внутренних рейтингов (ПВР) (2-е издание, переработанное и дополненное)
, М. : Юрайт, 2020
Книга посвящена современным подходам по управлению кредитным риском, которые активно внедряются в практику российских банков и крупнейших промышленных организаций. В пособии подробно описаны этапы построения и валидации как рейтинговой системы, так и построения отдельных моделей вероятности дефолта (PD), уровня потерь при дефолте (LGD), величины кредитного требования, подверженной риску дефолта (EAD). Обсуждаются математические модели, заложенные в ...
Added: May 1, 2020
Determinants of the probability of default: the case of the internationally listed shipping corporations
, , et al., Maritime Policy and Management 2017 Vol. 44 No. 7 P. 837-858
In this study, we use a sample of 192 listed shipping companies and employ a logit model in order to investigate the determinants of the probability of default. We enhance our analysis by isolating not only the cases of company liquidations but also those cases where companies had to change their legal status due to ...
Added: October 17, 2017
Исследование взаимосвязи параметров моделей внутренних рейтингов оценки кредитного риска — вероятности дефолта и доли убытка при дефолте (часть 1)
, , Управление финансовыми рисками 2015 Т. 41 № 1 С. 22-45
Currently capital adequacy ratio is one of the main prudential constraints for banks that reflects bank's capability to cover losses in case its borrowers do not pay back. To estimate capital adequacy ratio based on internal ratings based (IRB) models probability of default (PD) and loss given default (LGD) are considered. This is the first ...
Added: March 29, 2015
, , International Research Journal of Finance and Economics 2015 Vol. 137 P. 105-128
Lately the role of financial institutions in the economy has risen significantly and now it is important to determine those that are systemically important.The bankruptcy of such institutions creates negative effects for the economy on the global scale. The aim of this research is to identify important financial coefficients that can be used in the ...
Added: November 14, 2015
, Управление финансовыми рисками 2014 Т. 4 № 40 С. 276-284
This paper presents approaches that are used to explain mortgage defaults as a key risk management task of credit organization. In addition, advantages and disadvantages of econometric models for probability of default in the residential mortgage lending are discussed. We have shown that the probability of mortgage default modeling is connected with forecasting of borrower’s ...
Added: December 8, 2014
, Model Assisted Statistics and Applications 2020 Vol. 15 P. 81-98
In December 2019 the Basel Committee has launched the consolidated Basel framework. The framework inherits the Basel II internal ratings-based (IRB) approach for the credit risk with mostly no changes. The absence of the material methodological changes is unexpected given the fact that the key shortcomings of the IRB approach stay unresolved. The paper objective ...
Added: May 1, 2020
, / University Library of Munich, Germany. Series "MPRA Paper". 2011. No. 41507.
The binary and multinomial logit models are applied for prediction of the Russian banks defaults (license withdrawals) using data from bank balance sheets and macroeconomic indicators. Significantly different models correspond to the two main grounds for license withdrawal: financial insolvency and money laundering. Analysis of data for the period 2005.2–2008.4 for accurate prediction of a ...
Added: March 16, 2013
, , , / Банк России. Series Серия докладов об экономических исследованиях "Bank of Russia Working Paper Series". 2020. No. 66.
A genuine measure of an ex-ante credit risk links borrowers’ financial position with the odds of default. Comprehension of borrower’s financial position is proxied by the derivatives of its filled financial statements, i.e. financial ratios. To measure an ex-ante credit risk, one needs a forward-looking estimate. We identify statistically significant relationships between the shortlisted financial ratios and the subsequent default events. To estimate the odds of the borrower to default on its obligations, we simulate its probability of default at a horizon of one year. We horse run the constructed PD model against the alternative ...
Added: December 22, 2020