We consider 11 credit ratings of Russian banks, assigned by international and Russian rating agencies during 2012—2016. Econometric models of these ratings designed on the public information reveal difference in the approaches of the rating agencies to the Russian bank ratings. We also design econometric models of the Russian bank defaults, where we consider default as the bank license withdrawal by the Bank of Russia. Using these models we analyze to what extent rating agencies take into account probability of the license withdrawal in short-run period and if Central Bank of the Russian Federation decisions are related to the bank ratings. We found that the international and domestic rating agencies have different attitudes to the various reasons of the bank license withdrawal formulated in the Bank of Russia orders. Models of the ratings of agencies S&P, Moody’s, and Russian rating «Expert RA» show better performance than other rating models in the prediction of bank licenses withdrawals. Thus these ratings are more close to the purposes of the Bank of Russia. However binary choice models constructed by the historical data of bank licenses withdrawals beat rating models in the prediction of bank licenses withdrawals.
In this work a problem is studied of classification of respondents into classes accepting and not participation in a charity actions. An optimal (in Bayes sense) decisive discriminant rule of division of objects on two classes is constructed for the case when all indicators of observable objects are measured in a nominal scale, and there are signs of dependence between them . Using ROC-analysis methods, comparison of the developed rule with a rule implemented in the software package SPSS (Fisher’s discriminant rule), «naive» Bayesian classifier, a rule based on support vector machines (SVM) method and implemented in SPSS package binary logistic regression classifier is made. Results of the ROC-analysis have shown that the proposed rule has higher quality than all other mentioned rules of classification of respondents.
The author studies recent changes in the minimum wage policy in Russia. The year 2018 has become a turning point in the history of the minimum wage in Russia. The “bite” of the minimum wage has increased significantly making it binding for a large portion of workers. The legislation remains controversial with regard to the “northern” coefficients increasing the regulatory risks and threatening to undermine the system of minimum wage bargaining at the regional level due to the crowding-out effect. The minimum wage is currently set at a “reasonable” level concerning the national average and median wages. Direct costs of rising the minimum wage are small. However, the effect varies significantly across the regions — about one third of Russian regions will face a sharp increase in the share of workers at or below the minimum wage. The main financial burden of the minimum wage increase will be borne by regional and municipal budgets
Every country is shaped by its model of multi-channel funding in the sphere of culture and art, adequate its national system of fiscal devices, principles of the distribution of powers between the levels of Government and traditions of public and private support in this area. At the same time, all countries share a common approach to culture as a factor not only spiritual but also the economic progress of society. With all the variety of its industries and the differences in their economic situation the sphere of culture and art are treated as a single important sector of the national economy, the development of which requires the State to an integrated approach. The formation of the whole concept of State regulation and support of this sphere is a prerequisite for effective national policies in this area. In the world there is considerable arsenal of tools of financial support to cultural industries and arts. The choice of forms and methods of the private-state subsidies, as well as their combination depends on the nature of the chosen model of multi-channel funding, as well as the priorities and objectives of the current cultural policy.
The article presents a comparative analysis of three main approaches underlying the complex of instruments used in different countries to support arts and culture. The approach viewing culture as a patronized good corresponds to paternalistic model of the support for culture, the model implies making compensation of the objectively defined revenue deficit in the cultural institutions with the aid of budgetary allocations. Viewing culture as a factor of human capital development entails investment model to support cultural sector. The investment model means increasing government investment in the humanitarian field to ensure the transition to the innovation and knowledge-based economy and to sustainable social and economic growth. The third model views culture as the core of creative economy and corresponds to the stimulating support model. The stimulating model implies creating conditions for the creative industries development and creative class attraction, providing international competitiveness of the nations and cities in the global economy. The system of the support measures is analyzed for each of these approaches, using Russian and international practice.
The paper aims at introducing copula-models' concepts and its application to solving such financials programs as risk measurement, risk hedging, portfolio optimization, derivatives pricing and duration models evaluation. For the purpose the copula definition is firstly introduced. Then different copula families, model estimation and inference techniques are discussed. A detailed review of relevant literature is provided. Finally the unresolved issues are presented that might well become the subjects of further research.
This survey analyzes central ideas and the current state of the economic theory of learning in games. In game theory learning can be thought of as both an alternative to equilibria and as a way to better understand the nature of equilibria. Outside of game theory, theory of learning shows economic theory (for example, the classic Cournot oligopoly) in a new light, provides interesting theoretical problems, is nontrivial from econometric perspective, and can be studied with experimental methods. It also links economics with unexpected scientific disciplines: biology, philosophy of rationality and computer science. However, existing surveys are not particularly accessible to beginners and are not accessible at all in Russian. This survey intends to fill these gaps. It can serve both as an introduction and as a short reference. We analyze issues of classification as well as the models themselves. Theoretical descriptions are illustrated with concrete examples. Special attention is devoted to the empirical and experimental work. We also draw conclusions and hypothesize on perspectives of the field and its future role in economic theory.
Using binary choice logistic regression with quasi panel data (1998-2011) to develop a probability of default model for Russian banks we have found that: 1) there is a quadratic interaction between bank’s capital adequacy ratio and its default probability; 2) there is a negative relationship between the bank’s monopoly power and its PD; 3) macroeconomic, institutional and time factors significantly improve the model quality. We believe that these results will be useful for national financial regulatory authorities as well as for commercial banks in risk management
Game-theoretic model of election to a corporate board of directors is proposed. It is shown that the equilibrium distribution of seats is unique. The uniqueness guarantees nonmanipulability of elections. The distribution is obtained by the d’Hondt method of seats distribution in proportional representation problem. The model is tested on real data from a Russian company.
This article explores possible competition between the young and older workers in Russia. For the last 15 years, the employment level of 60—64 year old people rose while the employment level of 20—24 year old people fell and their unemployment was near constant. In the article, we show that these trends were independent. First, because of the peculiar properties of supply and demand of young and older people's labor force, direct competition between two groups is limited. By the supply side young and older workers have significant differences in qualifications they have. By the demand side even though their wages are almost equal, workplaces they occupy are also different if we compare them with the jobs occupied by 30—49 year old workers. Second, we used regional characteristics of the labor market and showed that there is no effect of the one of the groups’ employment on the employment and unemployment of the other group. Therefore, the young and the older workers are not competitors on Russian labor market. On the contrary specialization of each group on their own professions and sectors creates the possibility for interaction in Russia. That is why we can expect position of young people in labor market wouldn’t change after rising of pension age in Russia.