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.
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.