Measuring systemic funding liquidity risk in the Russian banking system
BOFIT Discussion Papers. DP. Bank of Finland Institute for Economies in Transition , 2012. No. 12/2012.
Andrievskaya I. K.
The 2007-2009 global financial crisis demonstrated the need for effective systemic risk measurement and regulation. This paper proposes a straightforward approach for estimating the systemic funding liquidity risk in a banking system and identifying systemically critical banks. Focusing on the surplus of highly liquid assets above due payments, we find systemic funding liquidity risk can be expressed as the distance of the aggregate liquidity surplus from its current level to its critical value. Calculations are performed using simulated distribution of the aggregate liquidity surplus determined using Independent Component Analysis. The systemic importance of banks is then assessed based on their contribution to variation of the liquidity surplus in the system. We apply this methodology to the case of Russia, an emerging economy, to identify the current level of systemic funding liquidity risk and rank banks based on their systemic relevance.
, , Journal of Business Management 2018 No. 15 P. 45-59
Background: Several worldwide studies demonstrate that the diversity of a top management team (TMT) depends on the organizational characteristics of business organizations. Though this topic has been studied in different countries, it is not well researched in Russia, especially for some industries, including the banking sector. The main purpose of the research is to study ...
Added: October 24, 2019
, , Journal of East-West Business 2021 Vol. 27 No. 3 P. 291-309
This article explores the influence of top management team (TMT) characteristics on the performance of banks in Russia. Empirical research is based on both primary and secondary data of 178 banks. The study contributes to advancing research on upper echelon theory. The study’s results suggest that some top management characteristics have positive influence on the ...
Added: March 10, 2021
, , et al., Деньги и кредит 2011 № 8 С. 13-18
World financial crisis has vividly demonstrated systemically important financial institutions to be subject of great attention in both mature and emerging market economies. The paper aims at summarizing the approaches to systemically important financial institutions identification and regulation. Qualitative and quantitative methods are discussed, as well as the demand for systemically important financial institutions identification ...
Added: December 12, 2012
, , М.: Издательский дом НИУ ВШЭ, 2017
В аналитическом докладе представлены результаты форсайт-проекта «Исследование глобальных вызовов и долгосрочных тенденций инновационного развития в сфере возобновляемых источников энергии», проведенного ИСИЭЗ НИУ ВШЭ при информационной и финансовой поддержке Группы компаний «Ренова». Исследование было сфокусировано на трех тематических областях: преобразование энергии солнца в электрическую; преобразование энергии ветра в электрическую; преобразование энергетической биомассы в тепловую и электрическую энергию. ...
Added: April 4, 2017
Россия в глобальном мире. Сборник научных трудов 10-й Всероссийской научно-теоретической конференции
СПб.: Издательство Политехнического университета, 2012
Сборник содержит материалы по проблематике: Россия в условиях глобального кризиса: внутренние и внешние угрозы; эволюция взглядов на роль государства в экономии; модель многополюсного мира; преемственность политической власти в России: история и современность; опыт управления развитием по пути национального проектирования; энергетическая безопасность Запада как вызов России; перспективы вступления России в ВТО: экспертные оценки и прогнозы; Россия ...
Added: February 14, 2013
, Russia's Water Resources 2030: Policy Recommendations / National Research University Higher School of Economics. Series WP BRP "Basic research program". 2015. No. 44.
The Foresight study presented in this paper is devoted to the sustainable use of water resources in Russia. The authors analyse possible trajectories of development in the three thematic areas (i) sustainability of water systems; (ii) water use by households and in industry; and (iii) new water products and services. The Foresight methods cover expert interviews ...
Added: August 31, 2015
, International Journal of Culture,Tourism and Hospitality Research 2013 Vol. 7 No. 1 P. 3-10
Purpose – The purpose of this paper is to introduce findings of comparative analysis and various models based on cultural heritage resources to foster regional development. Design/methodology/approach – Comparison of operational schemes, market positions and branding of three successful cultural heritage centers in Germany, Great Britain and Russia demonstrates a variety of regional development models based ...
Added: October 22, 2013
, Monetary regime choice and optimal rationing of credit at official rate: the case of Russia / Высшая школа экономики. Series WP BRP "Economics/EC". 2015. No. WP BRP 103/EC/2015.
Stabilizing monetary policy in small open economy is constrained by the open economy trilemma. In a crisis this constraint may not allow Central Bank to cut interest rate because it may cause huge capital flight and subsequent problems. In this paper we investigate whether performed by Central Bank rationing of credit at official rate may ...
Added: October 22, 2015
Copula-Application To Modelling Russian Banking System Capital Adequacy According to Basel II IRB-Approach
, , 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 ...
Added: November 6, 2012
, , , Foresight 2017 Vol. 19 No. 5 P. 528-540
Purpose – The purpose of the study is to show the technical potentials of a variety of renewable energy sources in Russia, as well as benefits from their deployment including hydrocarbon savings, emission reduction and lower energy cost. Design/methodology/approach – In the paper, Russia is compared with other countries in terms of actual installed capacity ...
Added: September 25, 2017
, , et al., Key Borrower Detection by Long-Range Interactions / National Research University Higher School of Economics. Series WP BRP "Basic research program". 2016. No. 56.
We propose a new method for assessing agents' influence in financial network structures, which takes into consideration the intensity of interactions. A distinctive feature of this approach is that it considers not only direct interactions of agents of the first level and indirect interactions of the second level, but also long-range indirect interactions. At the ...
Added: August 3, 2016
, , , Problems of Economic Transition 2010 Vol. 53 No. 3 P. 69-95
The article considers different approaches, all based on detailed statistical data, to determine which industries and commodities have high, medium, or low sensitivity to exchange rate fluctuations. The authors conclude that any exchange rate policy is an inappropriate tool to influence the structure of Russian economy. ...
Added: April 12, 2013
Методы финансового оздоровления, повышающие эффективность функционирования электроэнергетических компаний
, Финансовая жизнь 2017 № 3 С. 64-67
Currently, the main problem in assessing the financial condition is the fact that the methodology proposed by the authors do not take into account the nature of the activities of energy companies. Currently, the majority of the works of Russian and foreign authors related to financial recovery issues are not investigated the influence of industry-specific ...
Added: January 31, 2018
, Are Interregional Wage Differentials in Russia Compensative? / DIW Berlin, German Institute for Economic Research. Series 750 "Discussion Papers of DIW Berlin". 2007. No. 750.
Interregional differentials in nominal wages in the Russian Federation are huge compared to other countries. Using the NOBUS micro-data and a methodology based on the estimation of the wage equation augmented by aggregate regional characteristics, we show that these differentials have a compensative nature. Russian workers receive wage compensations for living in regions with a ...
Added: October 29, 2012
, The Interaction of Grassroots Communities and Local Authorities in Russia / Высшая школа экономики. Series EC "Economics". 2015. No. 97.
Taking into consideration the underdevelopment of the Russian civil community it is of essential interest to touch upon local communities (known as TOS). Local governments and TOS communities could provide similar services and as such cooperate or compete with each other. Community initiatives could supplant poorly performing government services, or governments could outsource to communities ...
Added: July 28, 2015
, , , Foresight 2017 Vol. 19 No. 3 P. 291-305
Purpose – This paper aims to describe and discuss the architecture of Russia’s Technology Foresight System (TFS). This paper introduces the reader to the integration of the TFS into the public administration system and, specifically, into the national strategic planning system. Design/methodology/approach – To do so, the authors fall back on more than 10 years of ...
Added: June 22, 2017
Ownership Dynamics and Firm Performance in an Emerging Economy: A Meta-Analysis of the Russian Literature
, , , Ownership Dynamics and Firm Performance in an Emerging Economy: A Meta-Analysis of the Russian Literature / . 2017. No. 65.
This paper provides a meta-analysis of studies on the effect of ownership on the performance of Russian firms over 20 years of rapid institutional and economic changes. We review 29 studies extracted from the EconLit and Web of Science databases with a total of 877 relevant estimates. We find that the government negatively affects company ...
Added: January 12, 2017
, , Post-Soviet Affairs 2018 Vol. 34 No. 6 P. 412-429
This study seeks to discuss the survivability of charitable NGOs in Russia without foreign funding. We use cross-section data from a quantitative household survey conducted in April 2016 to investigate common giving patterns of Russians. Using statistic and regression analysis, we explore causes of donations and individual and social attributes of charitable giving in general ...
Added: October 5, 2018
Understanding the survival of post-Communist corruption in contemporary Russia: The influence of historical legacies
, , Post-Soviet Affairs 2015 Vol. 31 No. 4 P. 304-338
Corruption is widespread throughout the former Communist states, and it is particularly severe and entrenched in Russia. Despite the fact that Russia's contemporary corruption has recently become a subject of analysis, there is, however, no study that has addressed the role of the Communist legacy in the development of various aspects of corruption. This paper ...
Added: September 3, 2015
, , , Russian Management Journal 2020 Vol. 18 No. 2 P. 217-234
Wage adjustments for employees are a reactive mechanism to changing market conditions and form a significant part of pay policy. Though various attempts to explore wage levels and wage differentials have been made, wage adjustment policies remain an understudied topic. This paper analyses the determinants of wage adjustments based on data from Russian companies 2015–2017. ...
Added: July 28, 2020
Exports-performance relationship in Russian manufacturing companies: Does foreign ownership play an enhancing role?
, , Baltic Journal of Management 2018 Vol. 13 No. 1 P. 20-40
Purpose - The purpose of this paper is to examine the relationship between export activity and firm performance for a positive impact of foreign direct investments. We also analyse two possible causes of the effect: technology transfer and financial support. The theoretical background is rooted in the resource-based approach taking into account multinational companies’ perspective ...
Added: October 15, 2016
, Russian Journal of Economics 2016 Vol. 2 No. 3 P. 302-326
Since the collapse of the Soviet Union, its successor states have suffered from cyclical currency crises. The most recent episode of 2014–2016 was caused by a combination of external and domestic factors. The former include tighter US monetary policy, slower global growth, and declining commodity prices, whereas the latter include the former Soviet Union (FSU) ...
Added: October 27, 2016
, , , Foresight 2017 Vol. 19 No. 5 P. 511-527
Purpose This study aims to assess future prospects for Russian energy exports until 2040, as global energy markets are undergoing major changes, with possible impacts on Russia. Design/methodology/approach Qualitative and quantitative approaches are integrated under a proposed foresight framework. The qualitative method involves an expert survey aimed at identifying major energy trends and their influence on ...
Added: October 3, 2017
, Strategic Analysis 2016 Vol. 40 No. 6 P. 536-546
While environmental issues attract growing interest all over the world Russia has kept aside from this trend for a long time. Its participation in international environmental cooperation has always been determined primarily by the external policy’s objectives. In Soviet times, participation in global environmental initiatives was a channel of collaboration with the West. In the ...
Added: October 13, 2016