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Теоретическая модель определения макропруденциальных надбавок по валютным кредитам
Вопросы экономики. 2024. № 12. С. 69–85.
Podudanskaya V., Sizykh N., Sizykh D., , in: 2025 18th International Conference on Management of Large-Scale System Development (MLSD).: IEEE, 2025. P. 1–5.
In conditions of high exchange rate volatility, selecting an optimal hedging instrument is a pressing task for companies engaged in international trade. The purpose of this study is a comparative analysis of the effectiveness of hedging methods (forward, futures, and options contracts) for insuring currency risks in the Russian market. The conducted research analyzes hedging ...
Added: February 1, 2026
Nechitailo V., Penikas H. I., Model Assisted Statistics and Applications 2025
Basel III has given rise to the active use of the macroprudential tools in the area of the banking regulation. The older and hence more frequently used one is the increase in the capital cost for the highly-risky loans (i.e., risk-weight add-ons). The more novel one is the quantitative limit without the direct capital cost ...
Added: February 13, 2025
Penikas H. I., Risk Management 2023 Vol. 25 No. 4 P. 1–30
Validation procedures are designed to prevent IRB models with model risk from being used in day-to-day business operations. The models that do pass are expected to entail negligible model risk. However, no one has studied the magnitude of such risk. Moreover, most of the prior literature criticises the IRB models either for missing certain features ...
Added: September 27, 2023
Penikas H. I., Деньги и кредит 2022 Т. 81 № 2 С. 20–48
Банк России снижал ключевую ставку для поддержки экономики в 2020–2021 гг. и поднимал ее для противодействия инфляции и последстви- ям санкций в 2021–2022 гг. Для оценки эффекта, оказанного изменениями на ставки по вкладам, в настоящей работе используются уникальные для Рос- сии помесячные данные за два года о предложениях ставок российских бан- ков по вкладам. Около ...
Added: July 28, 2023
Penikas H. I., Model Assisted Statistics and Applications 2022 Vol. 17 No. 1 P. 27–39
The Bank of Russia is one of the unique banking regulators in the world as it discloses granular reporting information per the existing credit institutions with the available historical track record. Same time the number of banks dramatically declined from above two and a half thousands in 1990s to one thousand in 2010 and to ...
Added: July 28, 2023
Penikas H. I., Surkov M., Скареднова А. Э., Quarterly Journal of Finance 2023
The recently finalised Basel Framework continues to allow banks to use internal data and models to define risk estimates and use them to compute their capital adequacy ratios. Globally, there are more than two thousand banks running Basel internal models. However, there are countries that have no such banks. They face the dilemma of which ...
Added: July 28, 2023
Penikas H. I., Вопросы экономики 2023 Т. 6 С. 36–61
Впервые рассмотрен уникальный массив данных о предложении ставок по кредитам с февраля по август 2022 г. Обосновано, что такие предложения, содержащие информацию о ставке и дополнительных условиях (срок, сумма и т. д.), чаще дают более крупные банки. Проанализированы слагаемые как кредитного риска ссуды, так и риск-аппетита банка. Показано, что банки, оценивающие кредитный риск для нормативов ...
Added: June 9, 2023
Deseatnicov I., Klochko O., Emerging Markets Review 2023 Vol. 55 Article 101023
Using a complete manually collected set of 3435 Russian firms with German capital in 2003–2020, we examine the effect of currency risk on the dynamics of German investors’ entry and exit into the Russian market via foreign direct investment. We document that German investors were relatively tolerant towards currency risk before 2014, and became highly ...
Added: April 27, 2023
Pomazanov M. V., Управление финансовыми рисками 2023 Т. 73 № 1 С. 18–29
The article examines the stability of indicators of rating models’ discriminatory power (in particular, Gini index) in the context of usefulness of Internal Ratings-Based Approach for credit risk assessment. The author considers the drop in discriminatory power, when it makes sense to abandon this approach, builds a macro model for predicting the Default Rate, and ...
Added: March 20, 2023
Penikas H. I., Risk Management 2023 Vol. 25 P. 1–27
There is a vast amount of literature criticizing the Basel Committee approach to the credit risk regulation, more specifically, the Internal Ratings-Based (IRB), as an excessively conservative one. However, the novelty of the current paper is that we identify when the IRB approach is too lax, i.e., we are able to present cases with the ...
Added: January 9, 2023
Penikas H. I., Скареднова А. Э., Surkov M. et al., Procedia Computer Science 2022 Vol. 199 P. 231–237
Internal-Ratings Based (IRB) approach is one of the founding blocks in the modern credit risk management and regulation. Its implementations by the banks world-wide incentivizes researchers, central bankers and investors to evaluate the outcome versus the non-IRB banks, i.e., the treatment effect. However, there are obstacles in such evaluation. From one side, all the banks ...
Added: February 21, 2022
Penikas H. I., Финансы и бизнес 2021 Vol. 17 No. 3 P. 50–61
The objective of the current paper is to justify how the natural monopoly regulation principles are worth applying in banking. Tirole required that the natural monopolies gradually reduce their tariffs throughout the years. In relationship tobanking his principle means that the systemically important banks should be required to gradually reduce the risk taken, i.e., to decrease the risk-weights used for the capital adequacy ratio. Such a regulation delivers ...
Added: October 13, 2021
Merika A., Negkakis I., Penikas H. I., International Journal of Banking, Accounting and Finance 2021 Vol. 12 No. 4 P. 347–367
Conventional stress-testing in credit risk management may considerably underestimate economic losses associated with the most negative scenarios. In this paper, we show that in order to properly stress-test credit risk, we need to derive initially the default correlation among assets or companies. Then a risk measure needs to be applied to the stressed default rate ...
Added: September 14, 2021
Borzykh D., Penikas H. I., Risk Management 2021 Vol. 23 No. 4 P. 282–300
The BIS indicated in July 2020 an unprecedented rise in default risk correlation as a result of pandemics-induced credit risks’ accumulation. A third of the world banking assets credit risk measurement depends on the Basel internal-ratings-based (IRB) models. To ensure financial stability, we wish IRB models to be accurate in default probability (PD) forecasting. There ...
Added: July 23, 2021