Моделирование времени жизни ипотечного кредита
Paper is devoted to modeling risks of mortgage default and prepayment using data from large Russian mortgage agency. Various techniques of survival analysis are applied to estimate corresponding hazard functions and their relation to loan characteristics. Along with traditional, single equation regression models, split population approach is used. Special attention is paid to model selection issues.
The paper presents a review of stochastic framework for term structure modeling and shows comparative advantages of commonly used techniques. The main application of the research is coherent modeling of credit and interest rate risk for Euro zone issuers.
In textbook the main issues connected with organization of credit analysis in a commercial bank were considered. The role of credit analysis in risk management system is shown. The methodology and specific methods for assessing the creditworthiness of borrowers used by banks are set out by complex approach. The textbook includes international recommendations for introduction of internal credit risk assessment systems in banks. With the aim at presenting the material examples from the practice of commercial banks, analytical tables, diagrams and figures were used.
The algorithm for finding the required equity capital for the insurance company is the basis of the Solvency II Directive of the European Union. Russia's accession to the WTO and the increase in individual companies of the financial stability and solvency at the expense of investment deals shows the relevance of the study. The purpose is to identify the degree of compliance with the requirements of Solvency II of the financial stability and solvency of Russian insurance company. To do this: first, describe the methodology of the Directive with a focus on the main characteristics and problems associated with the use in the Russian context; secondly, to justify the choice of a Russian insurance company; third, to apply the described method to the selected company.
The originality of this article is to assess risks on the example of Russian insurer with the application of the Solvency II methodology used for European insurers. The result can be considered, the resolution of disputes about the appropriateness of applying the requirements of the algorithm Solvency II to Russian insurance companies, their competitiveness, and the need for the use of risk management in insurance companies of Russia.
The paper considers the financial choice of entrepreneurs at their initial stage of development as a key criterion of a new firm potential riskiness. The main objective of the research is the methodology elaboration aimed at the numerical estimation of the role of informal financial resources involved in the small business creation. Two fundamental considerations have been tested. The former implies that informal investment is a substitution for unavailable formal sources, including venture capital (because of the lack of essential networks and connections with business associations). The latter performs the opposite concept of negative effects: economic reasoning discouragement and inefficient resources allocation. A special technique is introduced in order to measure the credit quality of early entrepreneurial activity and to estimate its contingency with the financial strategy. The methodology validation is realised under Global Entrepreneurship Monitor conceptual framework. The results are received for 42 countries in 2006-2007, depicting the influence of informal support on potential losses under the second consideration. As a result, informal investments are inefficient when the concentration of credit risk in the economy is rather high. Investorsђ expectations about the entrepreneurial growth of the firm are pessimistic, anticipated returns on investments are too low to be economically reasonable. The outcome leads to the irrecoverable losses, both financial (short-received profitability) and nonfinancial (decreased output, the lack of innovativeness, flexibility, and inventiveness).
The paper aims at finding the most accurate VaR model for the four most liquid Russian stocks. Among the possible VaR modeling techniques, the estimates considered in this work are based on GARCH models with six different distributions. A back testing analysis is performed to evaluate the accuracy of the alternative models and to find the worst predictable period in terms of the volatility behavior.
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.