Моделирование вероятности дефолта в строительном секторе: факторы корпоративного построения
Journal of Corporate Finance Research. 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 compared them. The model was conducted on the basis of information from the SPARK, Rosstat and the Bank of Russia database for the period of 2007-2015 – the final sample, after eliminating the outlying observations, consists of 4761 construction companies. The added value of the corporate governance factors is verified on the basis of comparison of the ROC-curves (AUC) and the I and II errors. Seven hypotheses were formed, some of which were statistically significant, using an assessment based on both international and domestic experience dealing with the influence of corporate structure on the company's stability. In particular, everything else being equal, the default probability of the company will be lower if the CEO is also a co-owner; whereas the default probability of the company will be higher if the company is a subsidiary. Note also, that, in fact, companies with a small board of directors overcome financial distress better (with a negative return on assets) in the Russian construction business. There was no confirmation of the hypothesis that older companies are less likely to default. Confirmed hypotheses give a new perspective to look at with a comprehensive risk assessment of large construction companies in the country. According to our estimates, corporate governance factors really improved the predictive ability of the models, and regularization methods confirmed the stability of these models. Using cross-validation, the robustness of the coefficients of the final specification was confirmed. This result may be of interest to a greater extent for banks, commercial investors and partners-contractors.
«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
, , , Российский журнал менеджмента 2018 Т. 16 № 1 С. 95-108
The successful activities of any commercial organization, in particular the bank, are based on a clear corporate financial architecture: an effective financial strategy and corporate governance system (relationship management, board of directors and shareholders). CEO is the main representative of the bank and a reflection of its success or failure in the market. In this regard there is a ...
Added: April 3, 2018
, , , Comparison of Default Probability Models: Russian Experience / 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
, Corporate governance and control in Russian banks / НИУ ВШЭ. Series WP1 "Институциональные проблемы российской экономики". 2007. No. 02.
The Working Paper examines peculiarities of the Russian model of corporate governance and control in the banking sector. The study relies upon theoretical as well as applied research of corporate governance in Russian commercial banks featuring different forms of ownership. We focus on real interests of all stakeholders, namely bank and stock market regulators, bank ...
Added: April 2, 2013
Does corporate governance really predict firms’ market values in emerging markets? The case of Russian banks
, Journal of Corporate Finance Research 2013 No. 3(27) P. 23-36
The paper aims to add to the literature on the connection between corporate governance and company valuation. We refer to the case of the Russian banks to suggest that connection between gpvernance and the stock price cannot be established in a convincing way due to data scarcity. Russia's stock market can supply sufficient statistical material ...
Added: November 16, 2013
, , Вестник международных организаций: образование, наука, новая экономика 2016 Т. 11 № 4 С. 60-76
This article analyses the evolution of the Organisation for Economic Co-operation and Development’s (OECD) Principles of Corporate Governance and the economic environment of their transformation, as well as the key changes in the third version of the document adopted in 2015. The authors conclude that this version reflects the recent challenges related to the role ...
Added: December 8, 2016
, Корпоративные финансы 2012 № 1(21) С. 24-32
В статье рассматривается авторский подход к периодизации этапов эволюции совета директоров в российских компаниях. Оценены перспективы и возможности дальнейшего развития этого института. Автор выделяет этапы на основе того, как менялась роль советов в российских компаниях. В результате исследования выделено три этапа эволюции роли совета директоров в России. Кроме этого, продемонстрирована система факторов (институциональная среда, правовое ...
Added: December 26, 2012
, , Journal of Corporate Finance Research 2008 No. 7 P. 5-16
This paper aims at explaining the differences in valuation of banking firms in Russia from a quality of governance point of view. A sample of acquisition deals and public offerings over the last 5 years is collected with the view of discovering factors that investors deem significant in making a decision whether to invest in ...
Added: February 5, 2013
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
, , Possible impact of corporate governance profile on a Russian bank valuation / UCL SSEES Centre for Comparative Economics. Series "Economics Working Paper". 2008. No. 95.
This paper aims at explaining the differences in valuation of banking firms in Russia through the impact of selected elements of corporate governance. We rely upon value-based management theory to test the hypothesis that expenses on corporate governance system create shareholder value. The price at which share stakes are acquired by strategic foreign investors is ...
Added: September 3, 2012
, Corporate governance and control in Russian banks / University Library of Munich. Series "Munich Personal RePEc Archive". 2008. No. 10028.
The Working Paper examines the peculiarities of the Russian model of corporate governance and control in the banking sector. The study relies upon theoretical as well as applied research of corporate governance in Russian commercial banks featuring different forms of ownership. We focus on real interests of all stakeholders, namely bank and stock market regulators, ...
Added: September 3, 2012
Russian Firms: Business Environment, Internal Organization and Behavior // In «Russia e Europa dell’Est: Progetti e prospettive di crescite»
, Russian Firms: Business Environment, Internal Organization and Behavior // In «Russia e Europa dell’Est: Progetti e prospettive di crescite» / University of Verona: Polo Scientifico Diddattico «Studi sull’ impresa» and Center for International Studies. Series "Serie di Studi Scentifici". 2012. No. 1.
The paper studies recent development in organization and behavior of Russian firms against the background of economic growth, the world crisis and post-crisis recovery. The main focus of the paper is a problem of investment, including foreign direct investment as a key determinant of Russian enterprises restructuring and modernization. In the context special attention was ...
Added: June 28, 2012
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
, , Journal of Corporate Finance Research 2019 Vol. 13 No. 1 P. 107-119
In this paper, the authors focus on two primary governance mechanisms which can be considered as sources of support for startup companies: the company’s ownership contingent and the company’s management personnel. Based on descriptive statistics from a sample of 416 Skolkovo start-ups from the ‘Nuclear’ and ‘Space’ clusters, and a Start-up-Barometer survey of 300 IT-entrepreneurs, ...
Added: August 28, 2019
М. : ИМЭМО РАН, 2016
The collection of extended analytical reports presented at the international conference of young scholars “Transformation of World Energy: Market Mechanisms and State Policy” organized by Center of Energy Studies, IMEMO RAN and Faculty of International Energy Business, Gubkin Russian State Oil and Gas University in April, 2016. Undergraduate and postgraduate students of leading Russian universities ...
Added: August 31, 2016
, , International Journal of Computational Economics and Econometrics 2017 Vol. 7 No. 1/2 P. 170-209
Since 2013, we have observed an increasing number of failed Russian banks with negative capital and falsified financial reporting. We use previously unavailable data for the period 2010 – 1H2015 to develop a logit model predicting the probability of bank failure with negative capital. In order to do so, we suggest solutions for the class ...
Added: October 4, 2016
Концепция «продовольственных режимов» как модель объяснения стратегий аграрного развития (на примере России и Бразилии)
, , et al., Вестник Российского университета дружбы народов. Серия: Социология 2019 Т. 19 № 2 С. 261-276
The ‘food regime’ approach was introduced as a historical method of “incorporated comparison” (P. McMichael). This comparison of the role of agriculture in the world-system made some scholars overemphasize an excessively unitary and coherent global food regime. The authors recognize this approach as a historical-comparative analytical tool to understand global trends, but argue that the Russian and Brazilian agrarian ...
Added: June 24, 2019
Russian cyclical indicators and their usefulness in real time: An experience of the 2008-09 recession
, Journal of Business Cycle Measurement and Analysis 2014 No. 1 P. 103-128
This report investigates the predictability of cyclical turning points in Russia. For years, anyone interested in Russia had access to a full set of common tools for business cycle analysis, such as several composite leading indicators, a purchasing managers’ index, enterprise and consumer sentiment indexes, and so on. However, the 2008-09 world financial crisis spread ...
Added: July 18, 2014
М. : ИНИОН РАН, 2004
Added: January 27, 2017
, , Post-Soviet Affairs 2018 Vol. 34 No. 6 P. 412-429
This study seeks to discuss the survivability of charitable NGOs in Russia without foreign funding. We use cross-section data from a quantitative household survey conducted in April 2016 to investigate common giving patterns of Russians. Using statistic and regression analysis, we explore causes of donations and individual and social attributes of charitable giving in general ...
Added: October 5, 2018
Global challenges and trends in agriculture: impacts on Russia and possible strategies for adaptation
, , Foresight 2017 Vol. 19 No. 2 P. 218-250
Purpose – This paper aims to analyse the mainstream and emerging global challenges and trends in the global agriculture sector. The analysis leads to a discussion on the present state of the Russian agroindustry and possible future strategies for adaptation in the context of the rapidly changing global environment. Design/methodology/approach – The design of this study is based on the ...
Added: June 23, 2017
State-controlled "national champions" of the Russian banking market: Concentration, competitiveness, and efficiency
, State-controlled "national champions" of the Russian banking market: Concentration, competitiveness, and efficiency / Social Science Research Network. Series "SSRN Working Paper Series". 2013. No. 2223686.
This paper tries to assess some of the effects from industrial policy of growing state-controlled "national champions" in the Russian banking industry. We look at market concentration and competitiveness and average bank efficiency. A modified method of calculating the indicators of market concentration suggests that main segments of the market have crossed the threshold of high ...
Added: February 25, 2013
, , , Problems of Economic Transition 2010 Vol. 53 No. 3 P. 69-95
The article considers different approaches, all based on detailed statistical data, to determine which industries and commodities have high, medium, or low sensitivity to exchange rate fluctuations. The authors conclude that any exchange rate policy is an inappropriate tool to influence the structure of Russian economy. ...
Added: April 12, 2013
, Russia's Water Resources 2030: Policy Recommendations / National Research University Higher School of Economics. Series WP BRP "Basic research program". 2015. No. 44.
The Foresight study presented in this paper is devoted to the sustainable use of water resources in Russia. The authors analyse possible trajectories of development in the three thematic areas (i) sustainability of water systems; (ii) water use by households and in industry; and (iii) new water products and services. The Foresight methods cover expert interviews ...
Added: August 31, 2015