Измерение риска ликвидности системы кредитных организаций на примере банковской системы России.
The lack of liquidity in the banking sector was a key factor in the deployment of the latest financial crisis, but at the moment the authors do not know indicators to measure the liquidity risk for the banking system as a whole. In this paper, we propose an indicator that allows you to measure the adequacy of liquidity. Its construction is based on the separation of accounts, bank balance for liquid and illiquid based on a comparison of statistics intramonth flows and stocks at the end of the month. We show that for the Russian banking system this indicator will display the instability of the system, associated with a lack of liquidity, as well as a leading indicator for the banking crises of 2008 and 2014's. The question of stability of distribution of the banks on this indicator during the crisis in the Russian economy is researched. Also in the work it is shown that the change in the time horizon in the calculation of the liquidity of the proposed definition of the indicator is a measure not only of the current liquidity risk, but the risk of instant liquidity and quality of funding.
The author has analyzed the structure, role of the Central Bank of the Russian Federation in the banking system of the Russian Federation and identified the main directions of its activity. The notion of "stability of the national banking system of the Russian Federation" has been specified. The types, attributes of its stability, the methods of assessment of sustainability have been identified; its problems have been revealed on the basis of assessment of the major features. The author suggests a model of probability of the bank’s bankruptcy as an element of stability of the Russian Federation banking system.
The aim of the article is to model dynamics of risks and assess the cyclical effect of Basel II in the Russian banking system.
The study of the Russian securities market, its segments and paticipants in 2012.
The article deals with the actual situation in Russian banking system, analyzing causes and effects of excess liquidity of Russian banks.
The study of behavior of the Russian securities market, its segments and partiсipants in 2011.
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.