Оценка вероятности дефолта сделок проектного финансирования
The article reviewed approaches to the development of internal rating models in project finance. Empirical research was based on the collected sample of data on various investment projects, including financial, industrial and regional indicators. The model estimating the probability of default for the project finance transactions (within the framework of internal ratings based (IRB) approach) and using an econometric model of binary choice was developed. On the basis of the developed model the decision making algorithm on project participation was formulated. New results of this research lies in the use of Russian statistics when adapting the proposed
approach for project finance transactions
In this study a CHAID-based approach to detecting classification accuracy heterogeneity across segments of observations is proposed. This helps to solve some important problems, facing a model-builder: (1) How to automatically detect segments in which the model significantly underperforms? and (2) How to incorporate the knowledge about classification accuracy heterogeneity across segments to partition observations in order to achieve better predictive accuracy? The approach was applied to churn data from the UCI Repository of Machine Learning Databases. By splitting the data set into four parts, which are based on the decision tree, and building a separate logistic regression scoring model for each segment we increased the accuracy by more than 7 percentage points on the test sample. Significant increase in recall and precision was also observed. It was shown that different segments may have absolutely different churn predictors. Therefore such a partitioning gives a better insight into factors influencing customer behavior.
Procedure for the simulation of the advances in EGE from mathematics is considered. For some tasks the important predictors are obtained. The models of binary logistics regression and ordinal regression for the prediction of probabilities of solution of task are built.
The monograph examines theoretical views on objectives and methods of regional economic integration, identifies main events in the history and the principles of unification of the markets for goods, services and individuals, reveals the mechanisms of non-tariff barriers control and the instruments of technical standards harmonization. The author interprets logical judgments and decisions of the Court of Justice of the EU, aimed to preserve the market integration. The author comes to the conclusion that economic arguments predominate in the logic of the Court.
The book focused on conceptual issues of markets integration with the aim of further consideration in the practice of Eurasian integration.
The article studies educational trajectories of schoolchildren in Yaroslavl Oblast. Conclusions point out that schoolchild’s educational achievements, educational plans of his/her friends and the level of education of his/her father are key predictors of a decision about continuing education. Thanks to this information it is possible to know which schoolchildren are at risk of not continuing their studies. In the course of the research comparative advantages of the logistic regression and the discriminant analysis in the case of binary dependent variables were examined. With the necessary prerequisites for the use of methods fulfilled, both strategies work well classifying schoolchildren.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.