Рейтинги как независимая мера риска
Edited by: Е. Г. Ясин Кн. 1. М.: Издательский дом НИУ ВШЭ, 2011.
Hainsworth R., Karminsky A. M., Solodkov V. M. Financial Economics. FE. Высшая школа экономики, 2012. No. 01.
Investors are being encouraged after the global crisis to reduce their dependence on the largest credit rating agencies for risk assessments of companies and securities. Comparing risk assessments from different sources rapidly becomes non-trivial when more than three credit rating agencies are involved. We propose a method for comparing rating scales, and hence constructing correspondence diagrams and tables, thereby treating the rating scales used by different agencies as objects of study. Scales are compared by looking at sets of ratings assigned to similar entities (in this case banks) with the assumption that the risk being measured by each credit rating agency is the same for a given rated entity at a given point in time. Two ratings assigned by two credit rating agencies may differ for two reasons: the two agencies have different opinions about the relative positioning of the rated entity (e.g., issuer or security) with respect to the universe of other rated entities; both agencies position the rated entity with respect to the universe of other rated entities in the same way, but they use different symbols to represent this position. Type 1 differences should disappear when a large number of ratings are considered. The existence of type 2 differences will require a mapping from one rating scale to another. Studying international bank ratings for a five-year period shows that there are type 2 differences for the largest credit rating agencies. A mechanism for constructing mappings between scales could lead to more competition with new credit rating agencies.
Added: Aug 28, 2012
Karminsky A. M., Polozov A. A., Alekseenko N. N. et al. In bk.: 11th EBES Conference Proceedings. Istanbul: EBES, 2013. P. 62-70.
Added: Sep 12, 2014
Карминский А. М., Пересецкий А. А., Рыжов А. В. Управление финансовыми рисками. 2006. № 4. С. 362-373.
Added: Mar 6, 2013
Балковская Д. В., Матвеева М. А. В кн.: Сборник статей по материалам IX научно-технической конференции студентов и преподавателей НИУ ВШЭ – Нижний Новгород «Современные проблемы в области экономики, менеджмента, бизнес-информатики, юриспруденции и социально-гуманитарных наук». Н. Новгород: Нижегородский филиал НИУ ВШЭ, 2011. С. 112-117.
Added: Oct 12, 2012
Перфильева О. В., Заварыкина Л. В., Лопатина А. С. Вестник международных организаций: образование, наука, новая экономика. 2012. № 1. С. 122-155.
Added: May 21, 2012
Menyashev R., Natkhov T. V., Яновский К. Э. Economics/EC. WP BRP. Высшая школа экономики, 2013. No. WP BRP 47/EC/2013 .
The ratings of political institutions are well-known and widely used in academic literature. These ratings are mostly based on expert evaluations. However, such evaluations can be subjective and occasionally driven by ideological considerations. In this paper we propose two new indicators of institutional quality for 154 countries. These indicators are constructed in a way that minimizes the subjectivity of the evaluations. Only the presence or absence of a particular institutional phenomenon is identified. This puts much less weight on possible bias and makes easy to verify. We show that these indices predict economic growth better than those commonly used, primarily because they include information about institutions that has been accumulated over a period of approximately two centuries.
Added: Jan 17, 2014
Пересецкий А. А., Карминский А. М., Головань С. В. и др. Препринты Научно-исследовательского центра РЭШ. WP. Научно-исследовательский центр РЭШ, 2009. № WP/2009/084.
Kazakhstan banking system is traditionally supposed to be more advanced than the Russian one. Since 2003 international accounting system was adopted in Kazakhstan and since 2005 Basel-2 norms were introduced (In Russia — no earlier than 2009). In the paper banks’ data for 2002– 2006 are used to estimate models of the banks’ technical efficiency and models of Moody’s bank ratings. In contrast to some previous papers, no significance difference is found for the average banks’ technical efficiency scores for the two countries at lest for the period 2002–2006. The rating models do not show significant difference in Moody’s experts approach for Russian and Kazakhstan banks’ ratings.
Added: Jun 15, 2013
Ражева (Еделькина) А. А. В кн.: Сборник научных статей в двух частях III Международной научно-практической конференции «Глобализация и выбор стратегии экономики России». Часть I. Ч. 1. М.: Государственный университет Министерства финансов Российской Федерации, 2012. С. 74-80.
Added: Jun 20, 2012
Ларионова М. В. Вестник международных организаций: образование, наука, новая экономика. 2012. № 1. С. 34-69.
Added: May 15, 2012