History of the World Largest Financial Losses in 1972-2018
Deregulation is often claimed to be the cause for financial distress. Thus it has to lead to financial defaults and losses. However, exact dependence is not clear. To verify it we tried to investigate the roots of world largest financial losses. As we found no source to extensively and completely cover those, we decided to prepare a data set of our own. By choosing a round threshold of USD 100m equivalent of loss amount as of announcement date, we arrived at the set of 117 defaults with total loss of USD 914bn in 46 years. Our key purpose is to make comprehend data set of largest losses.
, , , Финансы и бизнес 2018 Т. 14 № 3 С. 19-35
Nowadays investors are facing changing conditions of global financial markets and should evaluate risks correctly. The most crucial factor is market risk that defines financial stability and investment results of professional participants at financial market and its clients. One of the characteristics of American stocks are higher volatility during financial report announcements. Common VaR methodology ...
Added: November 28, 2018
, Деньги и кредит 2013 № 6 С. 35-40
The aim of this work is to analyze the financial stability indicators of Russian banking sector over a period 2008–2012. The analysis based on data published and used by the International Monetary Fund for assessing financial stability of various countries. During the research the factors affecting the level and dynamics of analyzed indicators were identified. ...
Added: July 15, 2013
, , Вестник МГИМО Университета 2015 № 4 (43) С. 53-63
Amid instability of financial markets and macroeconomic situation the necessity of improvingbank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing belongs to such instruments. The paper reviews and compares the models of market risk stress–testing of the portfolio ...
Added: October 25, 2015
, , Финансы и кредит 2013 № 27 (555) С. 47-58
This article presents the results of empirical research dedicated to default prediction among Russian commercial banks. The data used in the study include monthly balance sheet information on Russian banks in post-crisis period from 1 January 2010 until 31 December 2011. Factors characterizing theф financial stability of banks were obtained using binary logistic regression. With ...
Added: November 18, 2013
, М. : ИНФРА-М, 2020
The book is devoted to assessment and management of banking risks based on international approaches. The application of the methods of assessment, management and risk minimization in commercial banks is considered both in the context of adaptation of the international recommendations and standards in the banking sector of the Russian Federation, as well as in ...
Added: December 6, 2020
, , , Бизнес-информатика 2014 № 3 С. 49-56
Object of this research is the Russian banking system. The work purpose – creation of the comput-er program of an assessment of probability of bankruptcies of banks because of revocation of li-cense of banks and use of this system as mathematical model for detection of some regularities of the Russian bank sphere. The instrument of ...
Added: March 2, 2015
, , Прикладная эконометрика 2016 Т. 41 С. 123-143
Paper is devoted to modeling risks of mortgage default and prepayment using data from large Russian mortgage agency. Various techniques of survival analysis are applied to estimate corresponding hazard functions and their relation to loan characteristics. Along with traditional, single equation regression models, split population approach is used. Special attention is paid to model selection ...
Added: June 20, 2016
, Деньги и кредит 2014 № 10 С. 26-31
After the recent financial crisis in many countries there was a noticeable reinterpretation of the supervision and its role in improving of reliability and efficiency of financial intermediaries. Before that was the introduction of the basic principles of supervision, but now the main attention is given to the quality of supervision and enhancing its role ...
Added: October 30, 2014
, , et al., Экономическая политика 2017 № 3 С. 174-209
In this case-study we analyse the debt restructuring by Russian metallurgical companies Evraz, Metallinvest, Mechel and Rusal the necessity of which was caused by the rapid deterioration of their financial standing in the crisis of 2008. We summarize the terms of the primary debt restructuting and calculate the gains and losses from the restructuring for ...
Added: July 13, 2017
, Эволюция института банкротства в России: выбор кредиторами стратегии возврата долга / Высшая школа экономики. Series WP10 "Научные доклады Института институциональных исследований". 2007. No. 05.
The bankruptcy law and relevant coercive system determine the nature and scale of accompanying transaction expenses that play, in our opinion, a key role in choosing debt recovery mechanisms. We consider two basic scenarios of debt recovery: judicial procedures provided by the relevant laws and informal mechanisms worked out by direct participants of the relations. These ...
Added: March 16, 2013
, , Borsa Istanbul Review 2019 Vol. 19 No. 4 P. 344-356
This paper examines the nature of the relationship between corporate R&D investment and the probability of default. Existing evidence on the topic is varied and often conflicting due to its complexity. In this paper, we investigated the non-linear relationship between R&D investment and the probability of default, and also detected several factors influencing the nature ...
Added: September 30, 2019
, Финансовая аналитика: проблемы и решения 2017 Т. 10 № 4 (434) С. 403-417
Importance Having been adopted in 2015, personal insolvency regulations significantly influenced the supply structure in the lending market, and dramatically changed banks' approaches to dealing with difficult customers, especially in consumer lending. Objectives The research analyzes strengths and weaknesses credit institutions face as a result of the enforcement of personal insolvency regulations, nature of changes ...
Added: December 11, 2017
, Риск-менеджмент в кредитной организации 2015 № 4(20) С. 72-88
The structure of banking industry is highly connected with risks of defaults (Acemoglu, Ozdaglar, Tahbaz-Salehi (2015)). Thus, unexpected and abrupt changes of distributions of banking assets, credits as well as deposits can be good predictors for crisis events in the banking industry. This paper considers the structure of Russian banking industry. The industry structure has ...
Added: October 16, 2015
, , International Journal of Industrial Organization 2013 Vol. 31 No. 3 P. 223-237
A highly acclaimed result in contract theory is that tournaments are superior to piece rate contracts when the agents are risk averse and their production activities are subject to a relatively large common shock. The reason is that tournaments allow the principal to trade insurance for lower income to the agents. Our analysis shows that ...
Added: February 6, 2013
Моделирование оценки рыночного риска рынков европейских стран в период финансового кризиса 2008 года
, Прикладная эконометрика 2012 № 3 С. 20-35
The work is dedicated to VaR models, estimated on the equities quotes of the six European countries. The time series cover three economic periods - pre crisis, crisis and post crisis, where the crisis period is the financial crunch of the 2008 year. The volatility estimation is based on the four APARCH(1,1) models and six ...
Added: December 2, 2012
Современные особенности применения экономических моделей диагностики вероятности наступления банкротства юридических лиц
, , Вестник Пермского университета. Юридические науки 2014 № 1(23) С. 197-205
In article the questions connected with application of economic models and methods for forecasting of bankruptcy of legal entities are analysed. According to the current legislation about bankruptcy the limited amount of criteria is applied to diagnostics of insolvency of legal entities: coefficients of the current liquidity, security with own working capital and restoration (loss) of ...
Added: December 19, 2014
, , , Expert Systems with Applications 2017 Vol. 88 P. 393-401
By present, many models of bankruptcy forecasting have been developed, but this area remains a field of research activity; little is known about the practical application of existing models. In our opinion, this is because the use of existing models is limited by the conditions in which they are developed. Another question concerns the factors ...
Added: October 30, 2017
Предпочтения кредиторов в ходе банкротства: формальное банкротство или реструктуризация (пример компании «Трансаэро»)
, , Российский журнал менеджмента 2017 № 2 С. 225-248
This article is a case study of the bankruptcy of the Russian passenger aviation company “Transaero” that took place in 2015 aimed to reveal the preferences of creditors of financially distressed companies between formal bankruptcy and restructuring. We tested the hypothesis that the creditors of Transaero have chosen its bankruptcy because its liquidation value was ...
Added: July 13, 2017
, Коммерческое право. Научно-практический журнал 2013 № 1 С. 102-107
The article examines the issues connected with the necessity of transaction invalidation in terms of bankruptcy. Considering the last changes to the Law on bankruptcy the author suggests criteria of classification of the invalidation grounds. ...
Added: February 12, 2015
Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference
, , Research in International Business and Finance 2020 Т. 52 С. 101172
The paper investigates causal relationships between systemic risk, economic policy uncertainty and firm bankruptcies, conditional on global volatility proxied by the VIX index, in a sample of 15 advanced and major emerging market economies during January 2008-June 2018. We test for Granger causality in time and frequency domains as well as dissect multivariate causal linkages ...
Added: August 22, 2020
, , Научно-исследовательский финансовый институт. Финансовый журнал 2021 Т. 13 С. 75-90
This work is devoted to creating a model which could predict bankruptcy of Russian insurance companies. The aim of the study is to build a model based on panel data; its final version should have a good predictive power. Said topic is relevant because the number of revoked licenses has changed a lot over the ...
Added: September 3, 2021
, , М. : АНО ДПО "Корпоративный университет Сбербанка", 2015
Книга «Основы риск-менеджмента» описывает современный системный подход к управлению рисками в коммерческом банке, а также методы и способы управления отдельными, наиболее значимыми для банков видами рисков: кредитным, рыночным, операционным. Особое внимание уделяется темам, новым для российской банковской практики, таким как интегрированное управление рисками, связь риск-менеджмента с бизнес-процессами и стратегическим планированием, формирование риск-культуры. ...
Added: October 27, 2020
, , Бизнес-информатика 2019 Т. 13 № 3 С. 52-66
This paper is devoted to comparison of the capabilities of various methods to predict the bankruptcy of construction industry companies on a one-year horizon. The authors considered the following algorithms: logit and probit models, classification trees, random forests, artificial neural networks. Special attention was paid to the peculiarities of the training machine learning models, the impact of data ...
Added: December 8, 2019
A Binary Model versus Discriminant Analysis Relating to Corporate Bankruptcies: The Case of Russian Construction Industry
, , Journal of Accounting, Finance and Economics 2013 Vol. 3 No. 1 P. 65-76
The last market crash of 2008-2009 showed that the construction sphere is one of the most fragile spheres to the crisis effect. The destructive effect of this crash was resulted in substantial decrease in mortgage lending, price index, capital investment, and in growth of the cost level. As the construction industry remains strategically important, the ...
Added: December 2, 2013