Управление кредитным риском в банке: подход внутренних рейтингов
We aim to discover the relationship between market discipline and banking system transparency using the cross-country data (1990-2003) with Nier index and index based on World Bank surveys' data. We show that measures aimed to increase transparency, not being accompanied with requirements related to information availability and/or interpretability, may be not efficient in reaching the goal of market discipline stimulation.
In our research, we examine what macroeconomic factors determine and influence the credit cycle. In addition, our study contains four sections with theoretical and empirical parts, in which we describe how to measure credit cycles for developed and developing countries, and then introduce an important measure of the credit gap. Our results show a comparative analysis of credit cycles between different countries with different economic growth, and we have created an econometric model, which shows us the impact of macroeconomic factors according to the credit cycles for developing and developed economies.
The aim of the article is to model dynamics of risks and assess the cyclical effect of Basel II in the Russian banking system.
The main goal of this paper is to study interconnections between credit ratings and financial indicators of industrial companies from BRICS countries. We use method of patterns, one of the modern methods of nonlinear modeling, to identify groups of heterogeneous objects with different influence on ratings. Additionally, in this research, we evaluate Tobit regression model for selected groups and establish some credit rating patterns for the BRICS industrial companies. Our results of Tobin model, may have practical implementation in short-term financial management.
We examine the synergy of the credit rating agencies’ efforts. This question is important not only for regulators, but also for commercial banks if the implementation of the internal ratings and the advanced Basel Approach are discussed. We consider Russian commercial banks as a good example where proposal methods might be used. Firstly, a literature overview was supplemented with an analysis of the activities of rating agencies in Russia. Secondly, we discussed the methods and algorithms of the comparison of rating scales. The optimization task was formulated and the system of rating maps onto the basic scale was obtained. As a result we obtained the possibility of a comparison of different agencies’ ratings. We discussed not only the distance method, but also an econometric approach. The scheme of correspondence for Russian banks is presented and discussed. The third part of the paper presents the results of econometric modeling of the international agencies’ ratings, as well as the probability of default models for Russian banks. The models were obtained from previous papers by the author, but complex discussion and synergy of their systematic exploration were this paper’s achievement. We consider these problems using the example of financial institutions. We discuss the system of models and their implementation for practical applications towards risk management tasks, including those which are based on public information and a remote estimation of ratings. We expect the use of such a systemic approach to risk management in commercial banks as well as in regulatory borders.
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.