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Russian banks credit risk stress-testing based on the publicly available data
P. 262–271.
Bogdanova T., Davit Bidzhoyan
This paper suggests an algorithm for stress testing of the credit risk of a Russian commercial bank, intended for use by investors and bank customers to assess the bank’s financial stability under stressful scenarios. Indicator of bank losses in this work is the indicator “loan loss provision”. An algorithm is proposed that describes the bank’s cash flows in stressful situations, taking into account the demand function for the loans of the analyzed bank, the bank’s availability of the necessary capital to increase the loan portfolio, and the availability of a sufficient amount of liquid to cover losses.
In book
Tatyana Bogdanova, Davit Bidzhoyan Vol. 850: Advances in Intelligent Systems and Computing. , Springer, 2019.
Lapteva A., Российский юридический журнал 2024 № 5(158) С. 161–171
The investor is one of the most important figures in the investment process. In a significant part of cases, he is the initiator of investment, since the fate of a particular investment project depends on his decision to invest. Investment legislation quite often operates with this term, while there is no common definition in it. ...
Added: January 7, 2026
Voyko A. V., В кн.: Финансы коммерческих организаций.: ИНФРА-М, 2025. С. 121–152.
The chapter describes the theoretical and practical aspects of managing a company's accounts receivable, as well as approaches to classifying its types. In particular, modern approaches to the analysis and forecasting of accounts receivable are considered, calculations of the company's demand for accounts receivable and the cost of discounts for early payment of the company's ...
Added: December 9, 2025
Траченко М. Б., Володин А. А., Володина А. О. et al., ИНФРА-М, 2025.
The textbook reflects the theoretical foundations of financial management in commercial organizations and contains examples of the use of financial tools to justify management decisions. Meets the requirements of the latest generation of federal state educational standards for higher education. For students studying economics, including in the preparation of final qualifying papers, as well as ...
Added: December 9, 2025
Ионцев М. А., Финансовый бизнес 2025 № 6 (264) С. 120–127
This article proposes a methodology for systemic risk assessment within a conventional financial system adapted to the specifics of the digital asset ecosystem, which distinguishes between vulnerabilities and shocks. Thus, shocks are sudden or unexpected events that have a negative impact on the financial system, while financial vulnerabilities are factors that increase the negative impact ...
Added: November 10, 2025
Mikhail V. Sokolov, Polyakova E., Annals of Finance 2025 Vol. 21 No. 4 P. 415–433
This paper introduces an interval-valued extension of the internal rate of return (IRR). This extension is motivated by the inability to assign to an investment project a particular rate of return satisfying a set of reasonable axioms. We demonstrate that there exists an essentially unique extension consistent with a natural set of axioms. Notably, in ...
Added: November 5, 2025
Kosov M., Вестник экономической безопасности 2024 № 1 С. 198–202
The sanctions pressure of the United States and the European Union on our country aims to weaken the Russian economy. In other words, to exclude banks’ operations on the international financial market and, if possible, freeze their assets. In February 2022, sanctions were imposed against Russian credit institutions, such as: disconnection from SWIFT, a ban ...
Added: October 22, 2025
Чан Ф. Т., Староверова О. В., Kosov M., Аудиторские ведомости 2025 № 2 С. 129–134
This article is devoted to the study of factors affecting enterprise cash flow management. Methods of analysis and synthesis of peer-reviewed scientific sources on this issue are applied. As a result of the research, two groups of factors have been identified and systematized: objective factors (state economic policy, customer influence) and subjective factors (competence of ...
Added: September 22, 2025
Shirobokov A., Annals of Finance 2025 Vol. 21 P. 211–242
Economic sanctions have recently become a prominent tool in international policymaking. However, the mechanisms through which sanctions are transmitted and their impact on the domestic financial sector remain unclear. This paper employs a calibrated New Keynesian small open economy model to analyze the transmission channels of sanctions-induced terms of trade shocks and their impact on ...
Added: July 30, 2025
Balanda B., ЭКО 2025 Т. 55 № 6 С. 222–240
The paper compares the influence of macroeconomic factors on the financial stability of the banking systems of Russia and Brazil using SVAR modeling in 2000-2020. It is commonly believed that the economies of Russia and Brazil are similar, but the study revealed significant differences in their banking systems. The Russian banking system has proven to ...
Added: July 16, 2025
Lapteva E., Pilnik N., Вестник Санкт-Петербургского университета. Серия 5. Экономика 2025 Т. 41 № 3 С. 340–363
The article systematizes, synthesizes, and compares the results of studies aimed at modeling and assessing the effectiveness of macroprudential policy both at the level of individual countries and in a cross-country context. It provides an interdisciplinary review that integrates empirical findings with theoretical frameworks of macroprudential regulation, offering a novel analytical perspective on its effectiveness ...
Added: June 30, 2025
Galanova A., Гусаков Д. Р., Вестник Московского университета. Серия 6: Экономика 2025 Т. 60 № 2 С. 20–39
Development of PC online gaming is accompanied by creation a new type of exchangeable things – in-game paraphernalia or electronic gaming stuff. First, these things are allowed to be shared (given, transferred), then exchanged by agreement, then exchanged using virtual (gaming) currency, which acts as a measure of ‘value’ of a computer gaming thing. And, finally, as virtual currency ...
Added: June 21, 2025
Галанов В. А., Galanova A., Наука и практика. Научно-аналитический журнал РЭУ им. Г.В. Плеханова 2025 Т. 17 № 1(57) С. 27–34
The differences between short-term and long-term types of investment in the stock market have a deep economic basis in relation to which the time period acts only as a generalizing feature that allows reflecting the holistic and complex range of economic differences between them, primarily in terms of their profitability and risks. The duration of ...
Added: May 28, 2025
Popova P., / Series WP BRP "Series FE "Financial Economics""". 2025. No. WP BRP 97.
Added: April 6, 2025
Mukhametov O., Современная Европа 2025 № 2 С. 79–91
The European Central Bank (ECB) has been using unconventional monetary policy (UMP) since 2009, but the set of measures and their scale have varied significantly over the years. Until 2022, the measures were stimulatory and gradually expanded to increase aggregate demand in the economy. However, since 2022, the ECB has been pursuing contractionary UMP to ...
Added: April 6, 2025
Andreev M., M. Udara Peiris, Alexander Shirobokov et al., Annals of Finance 2024 Vol. 20 P. 167–197
Commodity-exporting economies display procyclicality with the price of commodity exports. However, the evidence for the relative importance of commodity price shocks for aggregate fluctuations remains inconclusive. Using Russian data from 2001 to 2018 we estimate a small open economy New Keynesian model with a banking system and leveraged domestic firms who default on their unsecured ...
Added: February 19, 2025
Zaiane S., Semenova M., / NRU Higher School of Economics. Series FE "Financial Economics". 2025. No. 96FE2025.
This study examines the relationship between managerial ability (MA) and bank loan quality, employing a quantile regression model. It analyzes whether the impact of MA on loan quality changes across various quantiles of risk. Using a sample of 126 MENA banks (2006–2020), the results reveal that the impact of MA on bank loan quality varies ...
Added: February 18, 2025
Smirnova E., Научные труды Северо-Западного Института Управления РАНХиГС 2024 Т. 15 № 4 С. 137-142
The article presents an approach to the use of data monitoring payback of implemented projects on the full life cycle as a regular source of data for solving problems of consecutive optimization of replacement of technological equipment. The accumulation of a database for monitoring payback creates an information and analytical basis for conducting post-fact audit ...
Added: February 11, 2025
Sizykh D., Kovalev R., Sizykh N., , in: 2024 17th International Conference on Management of Large-Scale System Development (MLSD).: IEEE, 2024. P. 1–5.
To improve the assessment model of credit risk by Merton for Russian financial market using the Monte Carlo simulation method and the SARIMA model for data forecasting. Nowadays, there are many methods of the assessment use in European countries. However, the applications of these methods may lead to inaccurate forecasts. In this work, modern methods ...
Added: January 15, 2025
Музейный целевой капитал как источник финансовой устойчивости музея: история и современное состояние
Sizova I., Вестник Томского государственного университета. Культурология и искусствоведение 2024 № 56 С. 215–228
The financial stability of museums today is the most important condition for their effective development. It is, however, quite challenging to maintain it during times of force majeure. And here fundraising tools come to the aid of museum employees, among which the endowment is becoming increasingly popular. This article presents the results of work within ...
Added: January 10, 2025