Модель оптимального поведения современной российской банковской системы
The paper describes the new version of the model of the Russian banking system, which successfully reproduces a wide set of parameters characterizing its performance: loans and deposits of firms and households, liquidity nominated both in rubles and in foreign currency, mandatory reserves. We describe the technique of derivation of model relations, which includes the statement of the problem of macroeconomic agent “bank”. This problem is based on the maximization of discounted flow of profit subject to budget constraint, balance of loans and deposits, liquidity constraints and reserve sufficiency requirements. The paper contains the system of equations which describes the solution of the problem. We provide a detailed description of transition of continuous to discrete time and the new approach to the relaxation of complementary slackness conditions based on the assumption that the model exhibits a turnpike property.
Apart from the standard approach to the parameter estimation for this class of models, we apply a method of multi-step forecasting. We show that the standard method of estimations allows to closely reproduce the historic series but leads to the poor quality of forecasts. The method of multi-step forecasting, on the other hand, successfully reproduces historic series and also leads to rather accurate forecasts. We compared it with standard econometric techniques and show that the model with parameters obtained via multi-step forecast method provides somewhat better forecasts than ARIXAM and much better ones than AR, ARIMA, VAR and VARX. We also show that then we use multi-step forecasting method, optimal values of parameters are about the same for different intervals of estimation and different lengths of forecasts (from one to six months). Such a stability of parameters makes us think that the model reproduces long-term relations of variables and can be used for forecasting and scenario analysis.
The model can be used for the evaluation of reaction of the banking system on the monetary policy, external constraints of different kind and the general condition of the economy. The model can be used as a block of a bigger general equilibrium model of the Russian economy.
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.
Venture capital (VC) provides financial and managerial support for new innovative ideas at the initial stages of commercialization. It has helped to find the market for many radical innovations of 20th century, including personal computer, Internet and genetic engineering.
As a part of market economy venture business was not stable from the very beginning. The periods of rapid growth alternated with deep recessions. However each time VC revived anew as the Phoenix due to its very important function in modern knowledge-based economy.
This report presents an analysis of statistical data that prove the existence of several cycles in VC dynamics in the USA and the Great Britain. The main factors of these cycles formation are discussed. The author proposes two possible scenarios of development of VC market for the first 30 years of the new 21st century. A hypothesis is put forward about the relation between VC cycle's amplitude and a phase of Kondratieff's cycle.
The review provides a detailed analysis of main trends in Russia's economy in 2013. The paper contains 6 big sections that highlight single aspects of Russia's economic development: the socio-political context; the monetary and credit spheres; financial sphere; the real sector; social sphere; institutional challenges. The paper employs a huge mass of statistical data that forms the basis of original computation and numerous charts.
This work contains the analysis of quotes dynamics for the biggest five Russian banks. The investigation is based on the trend of daily quotes. Pieces of news concerning these banks were researched in order to determine the reasons for the changes of trends. Main news groups were compared with the quote dynamics to investigate the power of their influence. It allowed to find fundamental factors influencing the quote dynamics changes and to estimate the power of the impact.
In this article we describe a system allowing companies to organize an efficient inventory management with 40 suppliers of different products. The system consists of four modules, each of which can be improved: demand planning, inventory management, procurement planning and KPI reporting. Described system was implemented in a real company, specializing on perishable products totaling over 600 SKUs. The system helped the company to increase its turnover by 7% while keeping the same level of services.
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.