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Достаточность залогового обеспечения как инструмент контроллинга кредитных рисков
С. 209–215.
Khon O. D.
The study reveals collateral requirements, throughout LTV ratio, within credit risk's controlling. The new approach to identify LTV deviations from its median on the group level as a reference point - alarm indicator is presented. This indicator serves to alarm banks to incorporate particular borrower to the so-called Watch list. These alarm indicators should be arranged only based on the empirical interlinkage of collateral and credit risk. Portfolio of bank corporate loans, issued from 2006 to 2017 on the Russian market, performs as research input data.
In book
НП «Объединение контроллеров», 2018.
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
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
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
Galanova A., Овсяник В. А., Наука и практика. Научно-аналитический журнал РЭУ им. Г.В. Плеханова 2024 Т. 16 № 3(55) С. 37–50
Credit ratings represent an assessment of the totality of borrowers' risks, and due to the very method of compilation, they contain a large amount of information about companies which is taken into account by market participants. The impact of news release about a change in a company's credit rating on the dynamics of its stock prices can be analyzed ...
Added: December 21, 2024
Afanasev V., Финансы и бизнес 2024 Vol. 20 No. 3 P. 71–88
The conventional approach to default prediction implies using financial ratios as predictors. This paper provides evidence for improvement in the quality of default prediction for auto repair firms if non-financial data is included in the models. The study uses a sample of more than 200 firms, which defaulted in 2018–2023 and 10 healthy peers samples ...
Added: October 2, 2024
Penikas H. I., / Банк России. Серия доклады Банка России "Серия докладов об экономических исследованиях". 2024.
In 2016, the Bank of Russia developed two ordinances to set forth a procedure using a limited sample of loans to conclude whether the level of loss provisions in the portfolio of uniform loans is sufficient or not and whether the bank’s capital is adequate.
The existing procedure of reserve sufficiency evaluation previews as a rule considering only a part of the loan portfolio and transfer (extrapolation) of the provision thus assessed for the overall portfolio. Moreover, the acting approach to define the minimum loan sample size assumes the absence of the default correlation.
Author’s contribution ...
Added: June 1, 2024
Penikas H. I., Вопросы экономики 2023 Т. 6 С. 36–61
Впервые рассмотрен уникальный массив данных о предложении ставок по кредитам с февраля по август 2022 г. Обосновано, что такие предложения, содержащие информацию о ставке и дополнительных условиях (срок, сумма и т. д.), чаще дают более крупные банки. Проанализированы слагаемые как кредитного риска ссуды, так и риск-аппетита банка. Показано, что банки, оценивающие кредитный риск для нормативов ...
Added: June 9, 2023
Маракуева М. А., Финансы и бизнес 2021 Т. 17 № 4 С. 3–17
The article discusses the most common mistakes in banking practice when constructing scoring models for assessing the credit risk of individuals. For a detail description, we have selected the most significant ones from the point of view of generating retail profit. With the example of logistic regression we show how much the price of each ...
Added: April 8, 2023
Pomazanov M. V., Риск-менеджмент в кредитной организации 2022 Т. 48 № 4 С. 31–39
Описанный подход к валидации риск-менеджмента розничного портфеля применялся в крупнейших банках и дал безупречно обоснованный результат, ускоривший коррекцию риск-политик в существенных сегментах розничных продуктов вплоть до закрытия одних и расширения планов размещения других. На основе оценки экономической выгоды от усиления риск-менеджмента с учетом текущих и плановых объемов могут быть обоснованно увеличены бюджеты на расширение аналитического ...
Added: December 20, 2022
Khasyanova S. Y., Вопросы статистики 2022 Т. 29 № 5 С. 96–109
The purpose of this study is to investigate how the Covid-19 pandemic affected the stability of Russian banks .To achieve this goal, an economic and statistical analysis of the risk and liquidity indicators of the Russian banking sector for the period 2008-2020 was performed. The analysis was based on the methodology for assessing the financial ...
Added: November 24, 2022
Цехомский Н. В., Наумцева Е. И., Кудлай В. А. et al., Банковское дело 2022 № 9 С. 30–38
Статья посвящена анализу развития рынка синдицированного кредитования в Российской Федерации и исследованию практических аспектов применения нового инструмента российского вторичного рынка синдицированного кредитования – финансирования участия в кредите (займе). Установление правовых основ в отношении такого нового механизма и расширение палитры инструментов вторичного рынка, доступных участникам российских сделок синдицированного кредитования, создало потенциал для дальнейшего развития отечественного рынка синдицированного ...
Added: November 14, 2022
Ivanova N. S., Penikas H. I., Popova S. et al., Деньги и кредит 2022 Т. 81 № 3 С. 89–106
In early July 2022, the Bank of Russia and the New Economic School held a joint workshop titled ‘Transition to a Low-Carbon Economy: Costs and Risks for the Financial Sector’. The presentations delivered at the workshop enable a number of general conclusions to be drawn. First, as follows from the results of the calculations in ...
Added: October 13, 2022
Barsukova S., Terra Economicus 2022 Т. 20 № 3 С. 87–97
In the countries of Central Asia, rituals of weddings, funerals and other important events play a significant role. Many complex ceremonies impose a financial burden on households, which is alarming for the authorities, who see the ritual economy as a threat of the citizens’ impoverishment. The reputation of families and the desire to confirm social ...
Added: September 27, 2022
Iakimenko I., Semenova M., Zimin E., Journal of International Financial Markets, Institutions and Money 2022 Vol. 80 Article 101651
Estimating correctly the borrower credit risks is the task of particular –and growing- importance for the banks all around the globe. Formal information sharing mechanisms are aimed to reduce information asymmetry in the credit markets and to enhance the precision of those estimates. In the academic literature, however, the answer to the question of whether ...
Added: September 15, 2022
Pomazanov M. V., Финансы и кредит 2021 Т. 27 № 12 С. 2719–2745
Abstract
Importance Validation of the consistency of rating model forecasts.
Objectives To provide rating model developers and validators with a practical fundamental test for benchmarking the calculated default probabilities resulting from the application of the models used in the rating system.
Methods The classical interval approach of testing statistical hypotheses, focused on the subject area of calibration ...
Added: January 13, 2022
Karminsky A. M., Khromova E., Kudrov R., , in: Eurasian Business and Economics Perspectives. Eurasian Studies in Business and EconomicsVol. 19.: Springer Publishing Company, 2021. Ch. 9 P. 139–161.
The work is devoted to credit risk modeling of international banks by constructing ordered logistic models of credit ratings assigned by the agencies: Moody’s, Standard & Poor’s, and Fitch ratings. It was demonstrated that mapping the credit ratings into a base scale helps to decrease the possible subjectivity of CRAs and increases models’ forecasting power. ...
Added: November 1, 2021
Shaidullin A., Вестник Московской международной высшей школы бизнеса МИРБИС 2019 Т. 17 № 1 С. 128–139
Abstract. The relevance of the chosen topic is that in the modern world the role of technologies and alternative methods of banking services is constantly growing. Competition between different banks is increasing, and there is a need to resort to increasingly risky methods of doing business. The purpose of the work is to develop principles ...
Added: September 29, 2021
Pomazanov M. V., Управление финансовыми рисками 2021 № 3 С. 170–187
The article proposes an approach that assumes the decomposition
of the RR / LGD model development process into
two stages: building the RR / LGD rating model and calibrating
the latter using a linear form that minimizes the residual
risk. The author proposes to use a residual risk metric, gives
calculations of its parameters for RR / LGD models for ...
Added: September 28, 2021
Penikas H. I., , in: Proceedings of the Conference on Modeling and Analysis of Complex Systems and Processes 2020 (MACSPro 2020)Vol. 2795.: CEUR Workshop Proceedings, 2020. P. 69–78.
Соглашения Базель II и III позволяют банкам использовать собственную статистику дефолтов для оценки параметров регулирования (риск-весов) в нормативе достаточности капитала. Банк вносит собственные оценки параметров в модель Васичека. На выходе получается распределение кредитных потерь. Регулятор требует взять 99.9%-ный квантиль такого распределения как меру риска (риск-вес). Говоря регулятор, мы имеем в виду любой Центральный Банк, который ...
Added: January 18, 2021
Penikas H. I., Model Assisted Statistics and Applications 2020 Vol. 15 P. 371–388
The Basel Committee on Banking Supervision finalized the Basel III accord in the December 2017 and launched the set of its standards – the Basel Framework – in December 2019. Both documents allow bank to use mathematical models for the credit risk estimation. There are quantitative and qualitative requirements for models to be allowed for ...
Added: January 6, 2021