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Comparison of Default Probability Models: Russian Experience
Высшая школа экономики
,
2012.
No. WP BRP 06/FE/2012.
Under the Basel II accord, improving probability of default models is a key risk-management priority. There are four main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian banking statistics from 1998 to 2011); investigating the macroeconomic and institutional characteristics of the banking sector environment and finally, testing the accuracy of the models developed. We have employed nonlinearity and automatic classification of the independent variables in our models, paying attention to the structure of the banking market as well as to the reliability of the models developed. We have compared several models for estimating default probabilities. From the results of this comparison, we have chosen the binary logit - regression with quasi panel data structure. Our key findings are: - There is a quadratic relationship between bank's capital adequacy ratio and its probability of default. - The "too big to fail" hypothesis does not hold for the Russian banking sector. - There is a negative relationship between the Lerner index and bank's PD. Macroeconomic, institutional and time factors significantly improve the model quality. We believe that these results will be useful for the national financial regulatory authorities as well as for risk-management in commercial banks. Moreover, we think that these models will be valuable for other emerging economies.
Karminsky A. M., Kostrov A., Eurasian Economic Review 2014 Vol. 4 No. 1 P. 81-98
We compare several models for estimating the default probabilities of Russian banks using national statistics from 1998 to 2011, and find that a binary logit regression with a quasi-panel data structure works best. We conclude that there is a quadratic U-shaped relationship between a bank's capital adequacy ratio and its probability of default. In addition, ...
Added: November 8, 2013
Karminsky A. M., Kostrov A., Murzenkov T., / Высшая школа экономики. Серия WP7 "Математические методы анализа решений в экономике, бизнесе и политике". 2012. № WP7/2012/04.
Совершенствование моделей вероятности дефолта банков является одним из перспектив¬ных направлений риск-менеджмента, предусмотренных новым Базельским соглашением в рам¬ках IRB-подхода. В данном исследовании особое внимание уделяется:
• расширению горизонта эмпирического исследования за счетиспользования российской банковской статистики за период с 1998 r. по 2011 г.;
• оценке влияния макроэкономических и институциональных факторов на вероятность дефолта банка;
• тестированию качества построенной модели.
Кроме того, в работе ...
Added: December 10, 2012
Vernikov A. V., / UCL SSEES Centre for Comparative Economics. Series "Economics Working Paper". 2014. No. 130.
We use statistical data from 2000 to 2013 to compare the macro-level structure and the core institutions of the banking systems in China and Russia. ...
Added: October 2, 2014
Andrei Vernikov, / Высшая школа экономики. Series MAN "Management". 2013. No. WP BRP 12/MAN/2013.
This paper aims to add to the literature on the connection between corporate governance and company valuation. We refer to the case of Russian banks to suggest that this connection cannot be established in a convincing way due to data scarcity. ...
Added: June 6, 2013
Vernikov A. V., / Social Science Research Network. Series "SSRN Working Paper Series". 2015. No. 2600738.
The paper suggests a classification of Russian commercial banks for the purposes of empirical analysis. While most of the literature on comparative bank performance in transition identifies three broad categories of banks (state, domestic private and foreign), in the Russian case it may be proper to consider separately the core state-controlled banks that jointly account ...
Added: May 1, 2015
Vernikov A. V., / University Library of Munich. Серия "Munich Personal RePEc Archive". 2012. № 40236.
Мы пытаемся оценить эффект от промышленной политики по выращиванию в России государственных банков – «национальных чемпионов» на степень концентрации и конкуренции. Затрагиваются вопросы сравнительной эффективности банков разной формы собственности и замены прямой государственной собственности на опосредованные формы владения. Период наблюдений – с 2000 по 1-й квартал 2012 г. Модифицировав способ расчёта двух основных показателей концентрации, ...
Added: September 3, 2012
Vernikov A. V., Problems of Economic Transition 2014 Vol. 57 No. 4 P. 3-25
This article assesses the effect of Russia's industrial policy with respect to the growth of the "national champion" state banks on concentration and competition in 2000-2010. ...
Added: October 2, 2014
Vernikov A. V., Desenvolvimento em debate 2015 Vol. 3 No. 2 P. 29-45
The article examines the role of the state in the Russian banking industry. ...
Added: May 31, 2016
Rybalka A., Корпоративные финансы 2017 Т. 11 № 3 С. 79-99
In this paper, we have estimated the probability for default in large construction companies in Russia using the classic
method for this purpose – logistic regression. Our task incorporates testing corporate governance factors and analyzing
the predictive power of the model with regularization (Lasso and Ridge). For the dependent variable, we tested four
definitions of default and then ...
Added: October 17, 2017
Karminsky A. M., Серякова Е. В., 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
Vernikov A. V., / Social Science Research Network. Series "SSRN Working Paper Series". 2013. No. 2223686.
This paper tries to assess some of the effects from industrial policy of growing state-controlled "national champions" in the Russian banking industry. We look at market concentration and competitiveness and average bank efficiency. A modified method of calculating the indicators of market concentration suggests that main segments of the market have crossed the threshold of high ...
Added: February 25, 2013
Vernikov A. V., Деньги и кредит 2014 № 11 С. 20-28
На базе статистических данных за 2000-2013 гг. сопоставляется макро-архитектура и институциональные характеристики банковских систем России и Китая, прежде всего состав и структура. ...
Added: February 20, 2015
Vernikov A. V., / Social Science Research Network. Series SSRN "Working Paper Series". 2014. No. 2474554.
We use statistical data from 2000 to 2013 to compare the macro-level structure and the core institutions of the banking systems in China and Russia. Our main hypothesis is that, differences in the absolute size and socio-cultural features notwithstanding, these two systems are typologically similar. We consider the institutional structure, the market structure and concentration, ...
Added: August 1, 2014
Vernikov A. V., / НИУ ВШЭ. Series WP1 "Институциональные проблемы российской экономики". 2007. No. 02.
The Working Paper examines peculiarities of the Russian model of corporate governance and control in the banking sector. The study relies upon theoretical as well as applied research of corporate governance in Russian commercial banks featuring different forms of ownership. We focus on real interests of all stakeholders, namely bank and stock market regulators, bank ...
Added: April 2, 2013
Vernikov A. V., / НИУ ВШЭ. Серия WP1 "Институциональные проблемы российской экономики". 2014. № 4.
We use statistical data for the period 2000-2013 to compare the macro-level structure and the core institutions of the banking systems in China and Russia. ...
Added: November 17, 2014
Vernikov A. V., / Институт экономики РАН. Серия "Научные доклады Института экономики РАН". 2014.
We use statistical data for the period 2000-2013 to compare the macro-level structure and the core institutions of the banking systems in China and Russia. ...
Added: September 26, 2014
Kirdina S., Vernikov A. V., Journal of Economic Issues 2013 Vol. 47 No. 2 P. 475-484
We undertook an institutional anbalysis of commercial banks in Russia. After the failed experiment with private financial intermediation in the 1990s, Russia migrated towards a banking system consisting of three -- rather than two -- tiers and featuring core institutions controlled by the state directly or indirectly. This evolution is consistent with this country's historical ...
Added: May 28, 2013
Karminsky A. M., Rybalka A., Шевченко Е. А., Российский журнал менеджмента 2018 Т. 16 № 1 С. 95-108
The successful activities of any commercial organization, in particular the bank, are based on a
clear corporate financial architecture: an effective financial strategy and corporate governance
system (relationship management, board of directors and shareholders). CEO is the main representative
of the bank and a reflection of its success or failure in the market. In this regard
there is a ...
Added: April 3, 2018
Mikhail Mamonov, Vernikov A. V., / Высшая школа экономики. Series FE "Financial Economics". 2015. No. 46.
This paper adds to the literature on banking in transition with regard to the comparative efficiency of public, private and foreign banks. We perform stochastic frontier analysis (SFA) of Russian bank-level quarterly data from 2005 to 2013. The method of computation of comparative cost efficiency is amended to control for the effect of the revaluations ...
Added: June 15, 2015
Vernikov A. V., Studies on Russian Economic Development 2015 Vol. 26 No. 2 P. 178-187
We look for typological similarity or dissimilarity between the banking systems of China and Russia. In both countries we have identified a multitier and hierarchically organized system of commercial banks headed by several institutions under direct control of the government. These core state-controlled banks combine commercial banking with development banking. The difference between the Chinese ...
Added: March 18, 2015
Karminsky A. M., Kostrov A., Murzenkov T., Финансовая аналитика: проблемы и решения 2012 № 41(131) С. 2-13
В соответствии с Базельскими соглашениями одной из перспективных задач риск-менеджмента является совершенствование моделей вероятности дефолта. Авторы исследуют влияние на вероятность дефолта российских банков финансовых факторов, уделяя особое внимание расширению горизонта исследования и нелинейностям по объясняющим переменным. Проведен анализ адекватности модели. Отмечено, что учет нелинейностей по относительным финансовым переменным существенно улучшает качество модели. Выделены объясняющие переменные, ...
Added: December 7, 2012
Kostrov A., Karminsky A. M., Procedia Computer Science 2014 Vol. 31 No. 2014 International Conference on Computational Science P. 766-772
We develop the model for estimating the default probabilities of banks for Russia, Belarus, Kazakhstan and Ukraine using banking statistics from 2005 to 2013. We find that a binary logit regression works best. In addition, macroeconomic and institutional factors significantly improve model accuracy. The results indicate that there are significantly different sources of risk in ...
Added: June 17, 2014
Vernikov A. V., Проблемы прогнозирования 2015 № 2(149) С. 108-120
В журнале ИНП РАН «Проблемы прогнозирования» в 2009 г. была опубликована статья Т.С. Сперанской, в которой сопоставлено присутствие государства и механизмы финансирования реального сектора экономики России и Китая и сделан вывод: модели развития банков в этих странах разные. За последние несколько лет в России произошел рост государственного присутствия в кредитной сфере в качестве регулятора, органа ...
Added: April 27, 2015
Vernikov A. V., Journal of Corporate Finance Research 2013 No. 3(27) P. 23-36
The paper aims to add to the literature on the connection between corporate governance and company valuation. We refer to the case of the Russian banks to suggest that connection between gpvernance and the stock price cannot be established in a convincing way due to data scarcity. Russia's stock market can supply sufficient statistical material ...
Added: November 16, 2013