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Regular version of the site
Of all publications in the section: 11
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Article
Batalova E., Furmanov Kirill, Shelkova E. Model Assisted Statistics and Applications. 2020. Vol. 15. No. 4. P. 315-322.

We consider a panel model with a binary response variable that is a product of two unobservable factors, each determined by a separate binary choice equation. One of these factors is assumed to be time-invariant and may be interpreted as a latent class indicator. A simulation study shows that maximum likelihood estimates from even the shortest panel are much more reliable than those obtained from a cross-section. As an illustrative example, the model is applied to Russian Longitudinal Monitoring Survey data to estimate a proportion of the non-employed population who are participating in job search.

Added: Dec 30, 2020
Article
Ermolova M. D., Penikas H. I. Model Assisted Statistics and Applications. 2017. Vol. 12. No. 1. P. 63-88.

The Basel Committee on Banking Supervision (BCBS) standards are generally accepted by 46 countries in the world (28 jurisdictions). However, these countries differ in terms of details of standards’ implementation, i.e. national discretions take place. In 2012 the Basel Committee launched Regulatory Compliance Assessment Program (RCAP) to assure that all member states operate according to rules at least not softer than the original ones. Standards’ unification across countries results in need for less developed countries to adopt standards faster and in a more stringent form. One may foresee financial instability exacerbation as an outcome of such policy.

That is why paper objective is to demonstrate that standards’ implementation (RCAP) score is an implicit product of country’s macroeconomic and financial system development. For example, higher share of foreign banks and higher unemployment are strongly associated with countries that have regulation significantly different from the Basel original ones (having low compliance scores finally). This is exactly why standards should be differentiated by countries. Key message of the paper is that to promote financial stability regulator should target natural heterogeneity of risk management and risk regulation instead of that appealing artificial homogeneity (of which RCAP is one the examples).

Added: Jan 28, 2017
Article
Penikas H. I., Andrievskaya I. K. Model Assisted Statistics and Applications. 2012. Vol. 7. No. 4. P. 267-280.

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.

Added: Nov 6, 2012
Article
Mkhitarian V., Karelina M., Ivanova T. Model Assisted Statistics and Applications. 2016. Vol. 11. P. 39-59.

This paper presents an empirical analysis of the Russian market of mergers and acquisitions (the largest market for corporate control in Central and Eastern Europe) in 2003-2012 in terms of the total volume and value of the merger and acquisition deals of the holding companies. This analysis allowed for the conclusion that, to assess and forecast the integration activity of holding companies, the most precise and appropriate models are seasonal autoregressive integrated moving average models built on weighted observations to eliminate the effect of the structural changes which are characteristic of developing economies. Forecasting the values of development of the market for corporate control may serve as “input” information to form a prompt regulation system for the mergers and acquisitions of holding companies, which meets current needs. The presented analysis makes it possible to work out measures of public policy to increase the efficiency of the integration activity of holding companies.

Added: Sep 5, 2016
Article
Penikas H. I. Model Assisted Statistics and Applications. 2020. Vol. 15. P. 81-98.

In December 2019 the Basel Committee has launched the consolidated Basel framework. The framework inherits the Basel II internal ratings-based (IRB) approach for the credit risk with mostly no changes. The absence of the material methodological changes is unexpected given the fact that the key shortcomings of the IRB approach stay unresolved. The paper objective is therefore to list its earlier discussed shortcomings and to address the new ones. Latter include the unbalanced treatment of PD and LGD parameters, as well as methodological inconsistency in expected and unexpected loss treatment.

Added: May 1, 2020
Article
Lipovetsky S., Penikas H. I. Model Assisted Statistics and Applications. 2020. Vol. 15. P. 285-287.

Editorial to the journal special issue devoted to professor Sergei Artemievich Aivazian.

Added: Jan 9, 2021
Article
Molostvov V. Model Assisted Statistics and Applications. 2011. Vol. 6. No. 3. P. 231-237.
Added: Sep 19, 2011
Article
Penikas H. I., Sirotkin I. Model Assisted Statistics and Applications. 2016. Vol. 11. No. 1. P. 1-12.

We considered the problem of choosing optimal hedging ratio taking into account interday and intraday return decomposition. It was shown that the standard hedging approach which uses only close prices (i.e. daily returns) is inefficient in comparison with hedging strategy based on open and close prices, i.e. when differentiating hedging ratio for interday and intraday periods. Results are confirmed both by applying Moving Window Regression and Error Correction Model for major world indexes for 1992–2012.

Added: Jan 11, 2016
Article
Ermolova M. D., Penikas H. I. Model Assisted Statistics and Applications. 2017. Vol. 12. No. 4. P. 335-358.

The capital adequacy ratio is one of the important regulatory requirement for banks, which indicates its willingness to cover losses in the event of borrowers’ defaults. The Probability of Default (PD) and Loss Given Default (LGD) are two core parameters of the internal risk rating models used to calculate regulatory capital under the assumption that PD and LGD are independent. Papers based on developed countries data provide evidence with the dependence to be positive. It causes that banks underestimate the level of a risk of its loan portfolio, while they do not take into account the existence of such relationship. This is the first paper which aims to estimate the relationship between PD and LGD for Russian public companies. A major conclusion of the research is that using Russian data one cannot argue for the presence of risk parameter dependence whereas research using developed countries’ data suggests there is a positive one. This implies there is no need to overcharge capital for Russian banks compared to their counterparts from developed countries.

Added: Dec 13, 2017
Article
Ermolova M. D., Penikas H. I. Model Assisted Statistics and Applications. 2019. Vol. 14. No. 1. P. 103-120.

The Central Banks discuss bank recapitalization arrangements. Markup to capital is needed because the current Basel approach is insensitive to some risks. As the Basel Committee moves from comprehensive risk modelling towards a revised, simplified, standardised approach, where one-two triggers measure risk, banking regulators increase demand for a capital add-on to meet unaccounted risks. The paper suggests the add-on estimates for the joint effect of the concentration and PD-LGD correlation risks leaving other unaccounted ones out-of-scope. The previous studies estimated add-ons for each risk separately. We show their joint impact on capital can be higher up to 5.3 times than the sum of two taken apart. Then previous results do not provide sufficient capital for a bank. We obtain that Basel underestimates the joint risk in 1.9 times on average. We expect that our contribution will be useful at least but not last for specialised lending (e.g. real estate and project finance), where the joint effect of concentration and PD-LGD correlation risks is the most observable.

Added: Aug 5, 2018
Article
Penikas H. I. Model Assisted Statistics and Applications. 2020. Vol. 15. P. 371-388.

The Basel Committee on Banking Supervision finalized the Basel III accord in the December 2017 and launched the set of its standards – the Basel Framework – in December 2019. Both documents allow bank to use mathematical models for the credit risk estimation. There are quantitative and qualitative requirements for models to be allowed for use in the prudential regulation of banks. The approach is called an Internal-Ratings-Based one (IRB). This paper aims at discussing a set of issues related to IRB credit risk modeling and such model estimates use. Those issues include data pooling in the credit registries, applying copula-discriminant analysis, validating the borrower concentration per grade, assigning the hybrid credit rating, use of model estimates when voting at the credit committee, estimate of the ultimate credit risk-taking by banks.

Added: Jan 6, 2021