Некоторые актуальные проблемы оценки кредитного риска в банковской сфере
Introduction. At the current moment the convergence between Russian and international standards of credit risk assessment, accounting and reporting principles is highly emphasized (Basel, IFRS). The critical approach is required for IRB model application taking into account Russian real economy specifics, default statistics, existing pr gaps in international recommendations. In the article authors presented the most significant problems incorporated into the IRB approach and Basel II formula for minimum capital requirements. Methods. Authors graphically presented functional behavior of different variables from Basel formula of minimum capital requirements based on international rating agency’s (Moody’s, S&P) statistic data analysis for periods from 1970 till 2011 years. Also in the article critical literature (legislative, Russian/English most recent publications) overview was undertaken. Results. The article presents the summary overview of the most critical issues, topical problems, their introduced solutions in IRB application to Russian credit organizations. Discussion. Each problem described in the article is a separate basis for further scientific research and requires practical solutions to be found in the nearest future.
We suggest an econometric model of probability of default based on regular financial disclosures of Russian banks. We also suggest a quantization of the continuous explanatory variables that allows to account for non-linear effects and to achieve superior accuracy compared with regression tree and Bayesian network models estimated over the same sample. The econometric estimates of probability of default are broadly consistent with the historical default frequencies of rated obligors and risk-neutral probabilities of default inferred from credit spreads in a reduced-form model.
The article gives an overview of the main approaches to verification of the internal rating methods of analysis of the creditworthiness. The article gives practical advice on the application of these techniques by an example of real internal rating technique.
In the paper some prominent features of a modern financial system are studied using the model of leverage dynamics. Asset securitization is considered as a major factor increasing aggregate debt and hence systems uncertainty and instability. A simple macrofinancial model includes a logistic equation of leverage dynamics that reveals origins of a financial bubble, thus corresponding closely to the Minsky financial instability hypothesis. Using ROA, ROE, and the interest rate as parameters, the model provides wide spectrum of leverage and default probability trajectories for the short and long run.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.