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History of the Basel Internal-Ratings-Based (IRB) Credit Risk Regulation
Model Assisted Statistics and Applications. 2020. Vol. 15. P. 81-98.
In December 2019 the Basel Committee has launched the consolidated Basel framework. The framework inherits the Basel II internal ratings-based (IRB) approach for the credit risk with mostly no changes. The absence of the material methodological changes is unexpected given the fact that the key shortcomings of the IRB approach stay unresolved. The paper objective is therefore to list its earlier discussed shortcomings and to address the new ones. Latter include the unbalanced treatment of PD and LGD parameters, as well as methodological inconsistency in expected and unexpected loss treatment.
Pomazanov M. V., М. : Юрайт, 2020
Книга посвящена современным подходам по управлению кредитным риском, которые активно внедряются в практику российских банков и крупнейших промышленных организаций. В пособии подробно описаны этапы построения и валидации как рейтинговой системы, так и построения отдельных моделей вероятности дефолта (PD), уровня потерь при дефолте (LGD), величины кредитного требования, подверженной риску дефолта (EAD). Обсуждаются математические модели, заложенные в ...
Added: May 1, 2020
Lozinskaia A. M., Управление финансовыми рисками 2014 Т. 4 № 40 С. 276-284
This paper presents approaches that are used to explain mortgage defaults as a key risk management task of credit organization. In addition, advantages and disadvantages of econometric models for probability of default in the residential mortgage lending are discussed. We have shown that the probability of mortgage default modeling is connected with forecasting of borrower’s ...
Added: December 8, 2014
Merika A., Negkakis I., Penikas H. I., International Journal of Banking, Accounting and Finance 2021 Vol. 12 No. 4 P. 347-367
Conventional stress-testing in credit risk management may considerably underestimate economic losses associated with the most negative scenarios. In this paper, we show that in order to properly stress-test credit risk, we need to derive initially the default correlation among assets or companies. Then a risk measure needs to be applied to the stressed default rate ...
Added: September 14, 2021
Penikas H. I., Деньги и кредит 2020 Т. 79 № 2 С. 101-128
In contemporary world, binary choice models are used in many areas. However, for all such areas, a problem arises when the share of one of the classes in the data sample is small. If this share is significantly small, this class is referred to as low default class. The purpose of this paper is to ...
Added: June 29, 2020
Ermolova M. D., Penikas H. I., Model Assisted Statistics and Applications 2017 Vol. 12 No. 4 P. 335-358
The capital adequacy ratio is one of the important regulatory requirement for banks, which indicates its willingness to cover losses in the event of borrowers’ defaults. The Probability of Default (PD) and Loss Given Default (LGD) are two core parameters of the internal risk rating models used to calculate regulatory capital under the assumption that ...
Added: December 13, 2017
Karminsky A. M., Lozinskaia A. M., Ozhegov E. M., Экономический журнал Высшей школы экономики 2016 Т. 20 № 1 С. 9-51
This paper analyzes the basic credit risk parameters in residential mortgage lending and its evaluation with focusing on loss given default. We develop the method for the loss given mortgage default evaluation based on the econometric model for the probability of mortgage default, approximation value of collateral and residual loan amount in analyzing time horizon ...
Added: February 8, 2016
Ermolova M. D., Penikas H. I., Полянский Ю. Н., Управление финансовыми рисками 2019 Т. 57 № 01 С. 32-51
This paper proposes a practically applicable method to include the impact of the internal ratings-based (IRB) model quality into risk-weighted assets (RWA) used to assess bank capital adequacy. The method implements an add-on to RWA depending on IRB model quality indicators to compensate for the possible RWA underestimation caused by model risk. It is shown ...
Added: March 17, 2019
Smirnov S. N., Финансовый бизнес 2011 № 3 С. 9-16
We suggest an econometric model of probability of default based on regular financial disclosures of Russian banks. We also suggest a quantization of the continuous explanatory variables that allows to account for non-linear effects and to achieve superior accuracy compared with regression tree and Bayesian network models estimated over the same sample. The econometric estimates ...
Added: November 30, 2012
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
Pomazanov M. V., Финансы и кредит 2020 Т. 26 № 11 С. 2567-2593
Subject. The study addresses the improvement of risk management efficiency and the quality of lending decisions made by banks.
Objectives. The aim is to present the bank management with a fair algorithm for risk management motivation on the one hand, and the credit management (business) on the other hand. Within the framework of the common goal to maximize ...
Added: December 16, 2020
Глушкова А. А., Pomazanov M. V., Вестник Южно-Уральского государственного университета. Серия: Экономика и менеджмент 2012 Т. 7 № 1 С. 6-12
The article is devoted to problems of capital adequacy level establishment by credit institutions. The authors scrutinize closely main concepts (Vaichek) and approaches, which underlie Basel 2 maturity adjustment formula. In the article authors treat critically the credit risk undervaluation problem for highly rated borrowers. ...
Added: October 31, 2012
Karminsky A. M., Kostrov A., Murzenkov T., / Высшая школа экономики. Series FE "Financial Economics". 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 ...
Added: December 10, 2012
Ermolova M. D., Penikas H. I., Управление финансовыми рисками 2015 Т. 41 № 1 С. 22-45
Currently capital adequacy ratio is one of the main prudential constraints for banks that reflects bank's capability to cover losses in case its borrowers do not pay back. To estimate capital adequacy ratio based on internal ratings based (IRB) models probability of default (PD) and loss given default (LGD) are considered. This is the first ...
Added: March 29, 2015
Karminsky A. M., Rybalka A., Журнал Новой экономической ассоциации 2018 Т. 38 № 2 С. 76-103
In the second half of the 2000s there has been a decline of the high concentration of ownership in Russian manufacturing industry. Structural shifts in corporate governance affect the financial stability of companies. In this paper, using logistic regression we investigate the impact of corporate governance factors and sector expectations on a negative net worth ...
Added: October 17, 2017
Penikas H. I., Петров В. С., Банковское дело 2014 № 8 С. 44-52
It is important to determine systemically principal insurance companies not only in the world as a whole but inside each country also. This paper is devoted to the identification of the financial coefficients interrelated with the indicator of systemic weight of insurance companies and estimation of this relationship in order to facilitate application of the ...
Added: August 25, 2014
Борщёва А. Н., Управление мегаполисом 2010 № 3 С. 159-163
Статья представляет собой результат эмпирического исследования, направленного на выявление доминирующей стратегии российских коммерческих банков в сфере управления кредитными рисками, анализ ее эффективности в период глобального финансово-экономического кризиса 2007-2009. Приводятся рекомендации по повышению качества управления кредитными рисками с целью повышения конкурентоспособности банковской системы. ...
Added: October 31, 2012
Lapshin V. A., Kurbangaleev M. Z., / Высшая школа экономики. Series FE "Financial Economics". 2012. No. 13/FE/2012.
In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS spreads. The proposed approach is essentially an infinite-dimensional modification of the Heath-Jarrow-Morton framework and is general enough to capture even very non-trivial shapes of the yield and hazard-rate curves. The approach allows us to jointly ...
Added: March 18, 2013
Suchkova E. O., Шушунина Н. А., Финансы и бизнес 2014 № 3 С. 22-31
The crisis of 2007-2009 has shown that the evaluating credit risk is a crucial task in the financial market. This paper presents a methodology to assess credit risk for the companies of the Russian steel industry. The model is based on principals usually used by rating agents. The methodology shows what key qualitative and quantitative ...
Added: September 11, 2014
Kuga I. T., Мухина Е. А., / EERC. Series "Labor markets and social policy". 2016. No. 16/01E.
This paper tests covered interest parity at Russian money market over period of 2010-2014 and studies scale and sources of deviations from it. We use both offered and actual interbank interest rates for four different terms. Average deviations from the parity vary between 8 and 105 basis points depending on rates and terms. We test ...
Added: October 20, 2017
Khasyanova S. Y., Едронова В. Н., Финансы и кредит 2002 № 5 С. 3-6
В статье анализируются этапы кредитования в практике российских банков, их особенности и значение в кредитном процессе. Основное внимание вопросам экспертизы кредитных заявок. Исследуются проблемы кредитного анализа в банках, в том числе мониторинг кредитов, управление кредитным риском и проблемными ссудами. ...
Added: November 23, 2012
Penikas H. I., Skarednova A., Surkov M., / Central Bank of the Russian Federation. Series Доклады об экономических исследованиях "WORKING PAPER SERIES". 2021. No. 74.
The recently finalized Basel Framework continues allowing banks to use internal data and models to define risk estimates and use them for the capital adequacy ratio computation. World-wide there are above two thousand banks running the Basel internal models. However, there are countries that have none of such banks. For them there exists a dilemma. ...
Added: July 17, 2021
Lozinskaia A. M., Merikas A., Merika A. et al., Maritime Policy and Management 2017 Vol. 44 No. 7 P. 837-858
In this study, we use a sample of 192 listed shipping companies and employ a logit model in order to investigate the determinants of the probability of default. We enhance our analysis by isolating not only the cases of company liquidations but also those cases where companies had to change their legal status due to ...
Added: October 17, 2017
Ханьков И. О., Penikas H. I., / University of Pavia. Series DEM "Department of Economics and Management Working Paper Series". 2015. No. 113.
Research is devoted to examination of the classifier, based on copula discriminant analysis (CODA). Performance of the classification of this algorithm was assessed. On samples, modelled with some typical features of corporate default data, sensitivity of the classifier was tested, to sample size, to default rate and to different patterns of variables’ interdependence. Alternative copula ...
Added: January 11, 2016
Kayasheva E., Финансовая аналитика: проблемы и решения 2014 № 17(203) С. 44-56
В связи с положительной динамикой развития банковского кредитования микро- и малого бизнеса на российском рынке и наметившейся тенденцией выделения банками этого блока в отдельное направление актуальной становится задача выявления факторов, оказывающих наибольшее влияние на финансовое состояние предприятий и их кредитоспособность. В статье сделан обзор ключевых работ по моделированию вероятности дефолта малых и средних предприятий, ...
Added: February 9, 2016