Квазиэквивалентный подход к управлению банковской проблемной ссудной задолженностью
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.
Annotation: Problem of assessing the liquidity risk premium for bonds is actual in connection with recent crisis. In article is analyzing possible approaches for estimation of liquidity risk premium for bonds used information of market credit derivative finance instruments such as quotes of Credit Default Swaps (CDS). Critical analysis of models of credit risk necessary for description liquidity of instruments also is made. Recommendations for using one or another approach on practice and for Russian conditions too were also given. A new alternative approach for assessing the liquidity risk premium for bonds is suggesting.
At present due to the continuing of the world financial crises, reforming of the bank sector, the problem of the financing of the enterprises has emerged. The most of the Russian companies have experienced difficulties in agreeing on credits with banks because of the tightening of credit policy. In the article authors are analyzing the deals with the participation of the strategic investor as method of the financing the enterprises in the period of the financial crises.
Investment activity is always connected with risk. Risk management is important instrument for any investor. In the process of the strategic investment it is necessary use the risk management system taking into account specific treats of these deals. The relevance and significance the theme of the article can be explained by the fact that the authors offer the procedure of analyzing the risk of the strategic investment deals. At present the Russian scientific literature practically lacks the papers related to this problem. At the same time in Russia the deals with the participation of the strategic investors really exist. The cooperation with them can contribute to the stability of the Russian business in the conditions of the world financial crisis. This article is aiming at analyzing the existing methods and choosing among them the most appropriate for developing an algorithm for the analysis and risk management of the strategic investment deals. Using the case with “Megafon” JSC and “Yota”Ltd. the authors present their own way of risk analysis of the deals with the strategic investors´ participation.
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.