Arm's Length Method for Comparing Rating Scales
This article conducts a study of multiplying the credit rating agencies efforts. These opportunities are practically important in connection with implementation of the IRB approach. The author considers Russian commercial banks as one of the main examples of using proposal methods, so in addition to literature overview the paper includes review of the Russian banking system and rating activities.
Firstly, the author discussed the rating scales mapping for comparison of rating estimations of different agencies. Then, he proposed the distance method with the connected extremum problem to find compatible mapping functions for rating scale correspondence.
Secondly, the paper considered the possibility of rating model system creation for financial institutions. The bank rating models in order logit interpretation are discussed simultaneously for resident (Russian) and non-resident institutions. In addition, the specification of bank models’ characteristics and their quality were considered for the three largest international rating agencies also as econometrical models for corporates and sovereign were presented.
The results reviewed can help to apply basic instruments for practical applications of such models to the risk management problems, which are based on the public information and remote estimation of ratings. Commercial banks and government financial regulators may be perspective consumers of the proposed methods.
This article discusses ways to stimulate students' motivation to participate in extracurricular activities. The author points out the following forms of extra-curricular activities: administrative, informative and entertaining. The author proposes the scale of assessment of students for participation in extracurricular activities. These forms should be taken into account in the rating system of the student's academic achievement
The Russian Scientometric Handbook is designed to provide an overview of the field of scientometrics. The Handbook describes the history of creation of the breakthrough concept of citation indexing by Dr. Eugene Garfield, and development of the first multidisciplinary scholarly citation index, the Science Citation Index. Application of scientometric tools and methods in research management and resource allocation is discussed. Authors survey various scientometric indicators relevant to individual researchers, journals, research institutions and whole countries. Authors explore new types of indicators, such as altmetrics, relationship between scientometric indicators and the nature of scientific communication, and various methods of visualizing scientometric information. Possibilities and limitations of various scientometric techniques are examined. Authors highlight the need for an informed and reasonable approach to the use of quantitative indicators for research assessment. The Handbook includes the first Russian translations of three articles by Dr. Eugene Garfield.
The Handbook is intended for use by researchers, science analysts, universities and research institutions administrators, libraries and information centers staff, graduate students, and the general public interested in scientometrics and research evaluation.
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.
The ability of social media to rapidly disseminate judgements on ethnicity and to influence offline ethnic relations creates demand for the methods of automatic monitoring of ethnicity-related online content. In this study we seek to measure the overall volume of ethnicity-related discussion in the Russian-language social media and to develop an approach that would automatically detect various aspects of attitudes to those ethnic groups. We develop a comprehensive list of ethnonyms and related bigrams that embrace 97 Post-Soviet ethnic groups and obtain all messages containing one of those words from a two-year period from all Russian-language social media (N=2,660,222 texts). We hand-code 7,181 messages where rare ethnicities are over-represented and train a number of classifiers to recognize different aspects of authors’ attitudes and other text features. After calculating a number of standard quality metrics, we find that we reach good quality in detecting intergroup conflict, positive intergroup contact, and overall negative and positive sentiment. Relevance to the topic of ethnicity and general attitude to an ethnic group are least well predicted, while some aspects such as calls for violence against an ethnic group are not sufficiently present in the data to be predicted.
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.