Исследование взаимосвязи параметров моделей внутренних рейтингов оценки кредитного риска — вероятности дефолта и доли убытка при дефолте (часть 1)
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 paper providing PD-LGD estimate for Russian companies.
We aim to discover the relationship between market discipline and banking system transparency using the cross-country data (1990-2003) with Nier index and index based on World Bank surveys' data. We show that measures aimed to increase transparency, not being accompanied with requirements related to information availability and/or interpretability, may be not efficient in reaching the goal of market discipline stimulation.
The cornerstone of retail banking risk management is the estimation of the expected losses when granting a loan to the borrower. The key driver for loss estimation is probability of default (PD) of the borrower. Assessing PD lies in the area of classification problem. In this paper we apply FCA query-based classification techniques to Kaggle open credit scoring data. We argue that query based classification allows one to achieve higher classification accuracy as compared to applying classical banking models and still to retain interpretability of model results, whereas black-box methods grant better accuracy but diminish interpretability.
The aim of the article is to model dynamics of risks and assess the cyclical effect of Basel II in the Russian banking system.
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 corresponding closely to the Minsky financial instability hypothesis. Using ROA, ROE, and the interest rate as parameters, the model provides wide spectrum of leverage and default probability trajectories for the short and long run.
We consider certain spaces of functions on the circle, which naturally appear in harmonic analysis, and superposition operators on these spaces. We study the following question: which functions have the property that each their superposition with a homeomorphism of the circle belongs to a given space? We also study the multidimensional case.
We consider the spaces of functions on the m-dimensional torus, whose Fourier transform is p -summable. We obtain estimates for the norms of the exponential functions deformed by a C1 -smooth phase. The results generalize to the multidimensional case the one-dimensional results obtained by the author earlier in “Quantitative estimates in the Beurling—Helson theorem”, Sbornik: Mathematics, 201:12 (2010), 1811 – 1836.
We consider the spaces of function on the circle whose Fourier transform is p-summable. We obtain estimates for the norms of exponential functions deformed by a C1 -smooth phase.