?
The capital asset pricing model: cross-sectional analysis
Экономический вестник Донбасса, Украина. 2012. No. 4 (30). P. 92-98.
This article deals with application of the Capital Asset Pricing Model and its drawbacks on the Ukrainian equity market. In this paper efficiency of the CAPM in the domestic conditions is identified; alternative models are proposed.
Naumenko V., Лизинг. Технологии бизнеса 2013 № 8 С. 7-15
Based on the analysis of the factors and circumstances that must be taken into account in portfolio restructuring, this article justifies using the potential liquidation value as a benchmark for evaluating portfolio performance. ...
Added: October 17, 2013
Khasyanova S. Y., 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
Fedorovykh D., Финансы и бизнес 2014 № 2 С. 4-13
The idea of ligalization of bribe giving for certain types of bribes was expressed by K. Basu in 2011 and got a name Basu proposal. In this paper we discuss effects that can be caused by the direct implementation of this proposal. Our game-theoretic model shows that while legalisation of certain bribe-giving occurances can lead ...
Added: June 27, 2014
Teplova T., Rasskazova A. N., МИР (Модернизация. Инновации. Развитие) 2012 Т. 12 № 4 С. 54-61
In this paper as the main feature of innovation in the financial health of a company analyst view the shift to two circuits of key interests of owners of capital (financial stakeholders). Justified by differences key financial systems within the contour ownership interest and the lender three projections: liquidity, the current economic efficiency and growth. ...
Added: March 8, 2013
Pilnik N., Radionov S., Yazykov A., Экономический журнал Высшей школы экономики 2018 Т. 22 № 3 С. 418-447
The paper describes the new version of the model of the Russian banking system, which successfully reproduces a wide set of parameters characterizing its performance: loans and deposits of firms and households, liquidity nominated both in rubles and in foreign currency, mandatory reserves. We describe the technique of derivation of model relations, which includes the ...
Added: November 1, 2018
Voyko A. V., 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
Алексеев А. А., Иванинский И. О., Озорнина О. В. et al., Корпоративные финансы 2009 № 1(9) С. 81-86
The article gives an overview of influence of stock market discrimination on market value of companies in China. There are two types of shares on Chinese stock market: class A shares, which are available for domestic investors, and class B shares, which are available for foreign investors. Such market structure is not a unique Chinese ...
Added: March 3, 2013
Naumenko V., Финансовый бизнес 2012 № 3 (158) С. 50-55
The general issues of determining the liquidation value are discussed, such as the choice of market liquidity risk model and the choice of a price benchmark for estimating transaction costs. The layout for the portfolio management process is proposed which is grounded on a previously developed approach to determining the liquidation value of a portfolio. ...
Added: July 3, 2012
Прокудина Е. Б., Банковские услуги 2010 № 10 С. 13-20
Argentina, the second largest country in Latin America, hardly recovered form the recession of the year 2001, faces the crisis again in 2008. First of all, the crisis affected the credit and banking sphere of the country, reducing the volumes of credit and deposit. But during the crisis, Argentina managed to carry out the restructuring ...
Added: October 4, 2012
Pilnik N., Pospelov I. G., Dedova M., Журнал Новой экономической ассоциации 2014 № 4 (24) С. 87-110
On the basis of statistical balances and turnovers subaccounts Russian banking system built description liquidity needs of banks. Initial accounts combined into 35 units (which include loans and deposits by macroeconomic agents) are ranked by the rate of turnover. Based on this classification, there is a group of units that characterize the level of liquidity ...
Added: October 23, 2014
Khasyanova S. Y., Самсонов М. Е., Проблемы управления 2020 № 3 С. 40-48
The paper is devoted to the development of the mortgage securitization market in Russia. The aim of the study is to assess the average effect of mortgage securitization transactions on the performance of Russian banks that executed such transactions in the period from 2012 to 2018. The Propensity Score Matching methodology, which is applied for ...
Added: July 1, 2020
Иванов В., Банковское дело 2020 № 12 С. 19-32
The article, which is part of a comprehensive study, presents the author's detailed analytical classifier of unreliability of Bank statements and operations; systematizes the main directions of hiding banking problems with customer payments, outflow of funds, and liquidity; overstating the liquidity and repayment of the loan portfolio; demonstrating fictitious activity; the impact of the growth ...
Added: September 13, 2021
Malyshev P., Финансы и кредит 2010 № 14 С. 43-49
В статье представлен обзор наиболее важных тенденций в области управления резервными валютными активами, наблюдаемых в деятельности зарубежных центральных банков на современном этапе. Рассмотрены особенности инвестиционных стратегий центральных банков в условиях мирового финансового кризиса. Показано, что значительная часть указанных тенденций находит отражение и в российской практике. ...
Added: December 2, 2017
Andreev N. A., Lapshin V. A., Информационные системы и математические методы в экономике (электронный научный журнал) 2012 No. 3 P. 56-61
The paper presents a review of stochastic framework for term structure modeling and shows comparative advantages of commonly used techniques. The main application of the research is coherent modeling of credit and interest rate risk for Euro zone issuers. ...
Added: July 24, 2012
Andreev N. A., Lapshin V. A., Naumenko V. et al., Управление риском 2011 Т. 58 № 2 С. 35-53
В рамках методологии Альмгрена и Криса была подготовлена оригинальная методика расчета оптимальной ликвидационной стоимости портфеля с учетом особенностей микроструктуры рынка, организованного в форме книги лимитированных заявок. Для ее реализации была построена модель с учетом глубины рынка, которая привела к решению нелинейной оптимизационной задачи ликвидации портфеля. Главное отличие данного подхода от схожих методик заключается в том, ...
Added: October 24, 2012
Gerry C., Bishop K., Mickiewicz T. M., Economic Systems 2005 Vol. 29 No. 1 P. 89-119
Using panel data on large Polish firms this paper examines the relationship between corporate
control structures, sales growth and the determinants of employment change during the period 1996
2002. We find that privatised and de novo firms are the main drivers of employment growth and
that, in the case of de novo firms, it is foreign ownership which ...
Added: February 8, 2016
Киселева М. С., ЭТАП: экономическая теория, анализ, практика 2011 № 1 С. 100-114
Securitization of factoring assets in the area of application has three financial instrument - factoring, issuing securities lending. This mechanism allows to achieve significant economic results in the replenishment of circulating assets in updating the fixed assets, etc. The study describes the structure, you can use to simulate the process of securitization of factoring assets, ...
Added: November 18, 2012
Rodionov I. I., Bozhya-Volya R. N., Корпоративные финансы 2014 № 3 (31) С. 38-54
The article introduces business liquidity concept as the third (in addition to risk and return metrics) determinant of company performance. The issues discussed include the analysis of key liquidity elements and the influence of agency costs, uncertainty and market incompleteness on financial decisions. We analyze in details the firm liquidity model based on the assumption ...
Added: November 18, 2014
Dzhagityan E. P., Mukhametov O., Финансы: теория и практика 2023 Т. 27 № 6 С. 79-88
In response to the Global Financial Crisis of 2008–2009, international financial regulators tightened the regime of banking supervision in order to minimize systemic risks, strengthen banking sector resilience and ensure financial stability. Given the increased level of credit risks and the issue of liquidity in the banking sector, as well as the role of banks ...
Added: November 11, 2022
Иванов В., Банковское дело 2020 № 10 С. 24-34
For the first time, the article systematizes different approaches to the classification of the fictitious transactions and reporting by the main participants in the banking process within the framework of a single study. Based on many years of experience and analysis, a universal comprehensive analytical classification of fictitious transactions and Bank statements is proposed, which ...
Added: June 18, 2020
Rodina V., Управление корпоративными финансами 2013 № 2(56) С. 76-89
Коммерческие компании часто размещают свободные денежные средства на фондовом рынке. Наряду с традиционным критерием «риск — доходность» нужно учитывать и степень ликвидности финансовых инструментов (активов). Единого мнения относительно трактовки характеристики «ликвидность» и показателей, позволяющих сопоставлять активы, нет. В статье представлены различные метрики оценки ликвидности финансовых активов (акций), показаны возможности построения двухфакторных метрик и продемонстрированы особенности ...
Added: November 18, 2013
Teplova T., Gurov S., Applied Economics 2022 Vol. 54 No. 51 P. 5943-5955
We perform a comprehensive study of different illiquidity effects in the relatively illiquid Russian stock market. Over the period 2010–2020, we apply cross-sectional and time-series regressions using two low-frequency illiquidity proxies: the Amihud ratio and the invariance-implied ratio. The evidence suggests that implicit trading costs influence only the returns of small-capitalization stocks or low size ...
Added: April 26, 2022
Gubareva M., Umar Z., Sokolova T. et al., Applied Economics 2022 Vol. 54 No. 18 P. 2067-2076
We investigate how Covid-19 affects the emerging market (EM) bonds by analysing, on a standalone basis, investment grade (IG) and high yield (HY) debt per type of issuer. We document evidence that the option-adjusted spreads (OAS) of the IG and HY financials have recovered to the pre-Covid levels by the end of year 2020, while ...
Added: October 12, 2021
Penikas H. I., Банковское дело 2012 № 7 С. 8-10
Данная статья продолжает цикл работ, посвященным новациям в международном регулировании банковской деятельности. Предметом текущей работы стали рекомендации по разработки плана финансового оздоровления банка, опубликованные европейским банковским регулирующим органом 15 мая 2012 г. Целью статьи является описание оптимального плана финансового оздоровления, обобщающего как международную практику, так и требования российского законодательства, которое достаточно для разработки собственного плана ...
Added: July 9, 2012