Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation
The Basel III regulation raised the minimum capital requirements for banks. However, its implementation may not have reduced systemic risks. Academicians investigating optimal banking regulations do not have a consensus on whether to increase or decrease capital requirements. Here, we use the agent-based approach to study capital regulation and its implications on the evolution of the banking system. We chose the Russian banking system to proxy key model parameters. We find that lower capital requirements imply higher financial stability than the Basel III regime, where the regulator requires banks to have capital over 10% of its risk-weighted assets’ amount. However, the regulatory rule to merely have a non-negative capital is the simplest solution that best fits heterogeneous economies. It produces the highest ratio of capital to assets, the least number of bank bankruptcies, and the lowest demand of banks to enter the interbank market to cover liquidity problems for all systems.
Econophysics is a relatively new discipline. It is one of the most interesting and promising trends in modeling complex economic systems such as financial markets. In this paper we use the approach of econophysics to explain various mechanisms of price formation in the stock market. We study a model, which was proposed by Jean-Philippe Bouchaud and Dietrich Stauffer (Bouchaud 2002; Chang et al. 2002; Stauffer 2001; Stauffer and Sornette 1990), and used to describe the agents’ cooperation in the market. The most important point of this research is the calibration of the model, using real market conditions to proof the model’s possibility of setting out a real market pricing process
Monograph by S. Khasyanova «Upgrading Banking Regulation and Supervision in Russia in the line with International Standards» is devoted to the study of the development of banking regulation and supervision in Russia on the basis of international principles and standards. The process of implementation of international principles and standards of banking regulation in the Russian Federation and the following consequences are analyzed in the context of financial stability. Particular attention is paid to macroeconomic regulation and development of prudential regulations and requirements for banks, taking into account banking sector peculiarities. The regulation of systemic risk, identification of systemically important banks and applied to them a particular regulatory regime were investigated. The Deposit Insurance System and its role in enhancing the stability of banks as well as its directions of improvement are also considered in the study. The book is intended for professionals in the field of finance and banking, teachers and students of universities’ economic and financial departments.
The Autonomous Agents and MultiAgent Systems (AAMAS) conference series brings together researchers from around the world to share the latest advances in the field. It is the premier forum for research in the theory and practice of autonomous agents and multi-agent systems. AAMAS 2002, the first of the series, was held in Bologna, followed by Melbourne (2003), New York (2004), Utrecht (2005), Hakodate (2006), Honolulu (2007), Estoril (2008), Budapest (2009), Toronto (2010), Taipei (2011), Valencia (2012), Saint Paul (2013), Paris (2014), and Istanbul (2015). This volume constitutes the proceedings of AAMAS 2016, the fifteenth conference in the series, held in Singapore in May 2016.
In line with previous editions, AAMAS 2016 attracted submissions for a general track and five special tracks: Innovative Applications, Robotics, Embodied Virtual Agents and Human-Agent Interaction, Blue Sky Ideas track, and the JAAMAS presentation track. The special tracks were chaired by leading researchers in their corresponding fields: Onn Shehory and Noa Agmon chaired the Innovative Applications track, Francesco Amigoni and Roderich Gross the Robotics track, Tim Bickmore and Hannes Vilhjálmsson the Embodied Virtual Agents and Human-Agent Interaction track, and Frank Dignum the Blue Sky Ideas track. As a new initiative, the chairs of AAMAS 2016 also solicited articles published in the Journal of Autonomous Agents and Multiagent Systems for the JAAMAS Presentation Track. Only papers that have appeared in the Journal of Autonomous Agents and Multi-agent Systems (JAAMAS) in the 12 months period preceding the AAMAS notification date were eligible. This new track was chaired by Peter Stone.
Jointly with the PC chairs the special track chairs were responsible for appointing the Programme Committee (PC) members and the Senior Programme Committee members (SPC) for their tracks, and they made acceptance/rejection recommendations for their tracks in consultation with Programme Chairs based on input provided by the track PC, SPC, and Area Experts. This year the PC chairs introduced the new role of Area Experts, i.e., SPC members with additional responsibilities, to assist with selecting SPC members for specific research areas, identifying appropriate keywords, and assisting in potential issues during discussion phase. This new role was a success and increased the quality of our SPC and PC, and also the reviewing process in general.
Full paper submissions (8 pages plus bibliographic references) and Blue Sky Ideas paper submissions (4 pages plus references) were solicited for AAMAS 2016. Some of the full paper submissions were accepted as extended abstracts (2 pages). The papers were selected by means of a thorough review and discussion process, which included an opportunity for authors to respond to reviewer comments during a rebuttal phase. All SPC members, Area Experts, and Track Chairs followed and contributed to the technical discussions on the papers they were overseeing. The JAAMAS presentation Track submissions published as extended abstracts were handled by the track chair.
Overall, out of 550 submissions, 137 (25%) were accepted as full papers and 143 (26%) were accepted as extended abstracts. Additionally, all 16 JAAMAS track submissions were accepted.
Full papers were presented orally in 20 minute slots; all extended abstracts and, optionally, full papers were presented as posters during the conference.
Out of the 550 submissions, 351 (64%) had a student as the primary author, 82 of these were accepted as full papers (23%), and a further 90 (26%) were accepted as extended abstracts.
The proceedings also contain 17 Demonstration papers, 13 Doctoral Consortium papers, as well as abstracts of the invited talks and details of some of the awards given.
According to the strategy of the banking system development until 2015, the Central Bank of Russia is going to implement Basel II Internal-Ratings-Based (IRB) approaches in 2015, while Basel III is planned to be introduced in full starting from 2019. Taking into account the effects of the Basel II regulation during the crisis 2008-2009, in particular, the excessive procyclicality of the capital requirements, it is important to investigate the consequences of its adoption for the stability of the banking system in Russia.
The aim of this paper is to model the Russian banking system capital adequacy under the Basel II IRB approach. The main hypothesis tested refers to the existence of the procyclicality effect of the capital adequacy for the whole banking system as if Basel II has been introduced. The research is based on publicly available quarterly financial statements of all the Russian banks for the period 2004Q1-2010Q1. Copulas are used to model joint banking risks distribution.
The methodology consists of three steps. First of all, the copula structural shift for the joint risk distribution for the Russian banking system is assessed in order to examine the dynamics of the individual risks’ dependence and analyze the change in the level of the banking system stability. Secondly, risk-weighted assets are modelled using copula. Finally, the Value-at-Risk approach is employed to arrive at the capital adequacy ratio for the Russian banking system.
The analysis of the copula structural shift shows the downward change in the risks’ interconnection starting from the third quarter of 2005 being associated with the increased stability of the banking system. Basel II capital adequacy ratio fell to the minimum of 4% during the period 2009-2010, while the Basel I capital adequacy ratio was well above 15%. However, the hypothesis of the procyclical nature of Basel II is rejected.
The research undertaken highlights the necessity for further investigation and calibration of the models proposed in Basel II and Basel III. Moreover, it is important to work out the appropriate policy options with respect to banks bearing high risks under Basel II.
Nowadays simulation modeling is applied for solving a wide range of problems. There are simulations which require significant performance and time resources. To decrease overall simulation time a model can be converted to a distributed system and executed on a computer network. The goal of this project is to create a library enabling clear and rapid development parallel discrete event models in AnyLogic. The library is aimed for professionals in computer simulation and helps to reduce code amount. The project includes a research on different synchronization algorithms. In this paper we present techniques which can be used in creating distributed models. We present comparison of a single threaded model with a distributed model implementing optimistic algorithm. The comparison shows a significant improvement in wallclock time achieved by separating the model into independent submodels with minimal communications.
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.