Key Borrower Detection by Long-Range Interactions
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 for the case of Russian banking sector.
Commonly in network analysis a graph (network) is represented by its adjacency matrix, and the latter may have an enormous order. We show that in many situations (generalizing the case of regular graph) a much smaller matrix (referred as type adjacency matrix) may be used instead. We introduce concepts of the types of nodes and of the type adjacency matrix, study properties of the latter and demonstrate some of its applications in social and economic network analysis. In particular, we consider centrality measures in undirected networks and dynamic patterns in a development model based on the structure of optimal paths in directed weighted networks.
In July 2013. Basel Committee on Banking Supervision published a new version of the document concerning the identification and regulation of systemically important financial institutions. In this paper modified version of the Basel Committee’s method is proposed, taking into account the features of the banking sector in Russia and approbation of the proposed method on official statements of the largest Russian banks.
Game theory has recently become a useful tool for modeling and studying various networks. The past decade has witnessed a huge explosion of interest in issues that intersect networks and game theory. With the rapid growth of data traffic, from any kind of devices and networks, game theory is requiring more intelligent transformation. Game theory is called to play a key role in the design of new generation networks that are distributed, self-organizing, cooperative, and intelligent. This book consists of invited and technical papers of GAMENETS 2018, and contributed chapters on game theoretic applications such as networks, social networks, and smart grid.
We study game equilibria in a network, in each node of which an economy is described by a two-period model of endogenous growth with production and knowledge externalities. Each node obtains an externality produced by the sum of knowledge in neighbour nodes. Uniqueness of the inner equilibrium is proved. Ways of behaviour of agent (passive, active, or hyperactive) in dependence on received externalities are studied. Classification of networks based on a notion of type of node is provided. It is shown that the inner equilibrium depends not on the network’s size or topology but on its structure in terms of the types of nodes, and in networks with similar types structure agents in nodes of the same type behave similarly. Changes of the equilibrium under changes in the network structure are studied, as well as network formation, in particular, connection of network components, and appearance of new links.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.