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Построение оптимального контракта, стимулирующего непринятие избыточного риска менеджерами банка
Финансовая жизнь. 2012. № 2. С. 33-37.
In 2010 the Basel Committee on Banking Supervision approach the issue of the optimal remuneration scheme. It wished to incentivize the bank top-management not to take excessive risks. Current paper has a description of a game-theoretical approach how such contract might be designed. We analyze the game tree and conclude the following. The bank management should be promissed higher share of profit (not of loss) to be granted in case low risk is taken compared to the situation with taking higher risk.
Penikas H. I., Selmier II W. T., / Высшая школа экономики. Series WP BRP "Economics/EC". 2013. No. 15.
This essay aims at highlighting the linkage between current international banking regulation (namely, that produced by the Basel Committee on Banking Supervision) and economic activity, which is proxied by the S&P500 stock market index. It is revealed that the amount of regulatory documents published per year affects stock market performance, but only for the next ...
Added: August 17, 2013
Penikas H. I., Петров В. С., International Research Journal of Finance and Economics 2015 Vol. 137 P. 105-128
Lately the role of financial institutions in the economy has risen significantly and now it is important to determine those that are systemically important.The bankruptcy of such institutions creates negative effects for the economy on the global scale. The aim of this research is to identify important financial coefficients that can be used in the ...
Added: November 14, 2015
Полянский Ю. Н., Penikas H. I., Аллахвердян М. А. et al., / БКБН. Серия БКБН "консультативный документ". 2016.
Важным направлением деятельности Базельского Комитета является установление последовательности в реализации посткризисных реформ в области регулирования. Последовательное применение глобальных стандартов банковской деятельности позволит повысить устойчивость мировой банковской системы, укрепить общественное доверие к регулятивным показателям достаточности капитала и способствовать формированию равных условий для международноактивных банков. В октябре 2014 года Комитет опубликовал для обсуждения пересмотренный Стандартизированный Подход к ...
Added: September 5, 2016
Khasyanova S. Y., М. : НИЦ Инфра-М, 2015
Monograph by S. Khasyanova «Upgrading Banking Regulation and Supervision in Russia in the line with International Standards» is devoted to the study of the development of banking regulation and supervision in Russia on the basis of international principles and standards. The process of implementation of international principles and standards of banking regulation in the Russian ...
Added: December 16, 2015
Burova A., Penikas H. I., Popova S., / Банк России. Series Серия докладов об экономических исследованиях "Bank of Russia Working Paper Series". 2020. No. 66.
A genuine measure of an ex-ante credit risk links borrowers’ financial position with the odds of default. Comprehension of borrower’s financial position is proxied by the derivatives of its filled financial statements, i.e. financial ratios. To measure an ex-ante credit risk, one needs a forward-looking estimate. We identify statistically significant relationships between the shortlisted financial ratios and the subsequent default events.
To estimate the odds of the borrower to default on its obligations, we simulate its probability of default at a horizon of one year. We horse run the constructed PD model against the alternative ...
Added: December 22, 2020
Ermolova M. D., Penikas H. I., Model Assisted Statistics and Applications 2017 Vol. 12 No. 1 P. 63-88
The Basel Committee on Banking Supervision (BCBS) standards are generally accepted by 46 countries in the world (28 jurisdictions). However, these countries differ in terms of details of standards’ implementation, i.e. national discretions take place. In 2012 the Basel Committee launched Regulatory Compliance Assessment Program (RCAP) to assure that all member states operate according to ...
Added: January 28, 2017
Penikas H. I., Управление финансовыми рисками 2017 Т. 49 № 1 С. 2-16
Статья посвящена проектированию банковского регулирования, основанному на сравнении банков с транспортными потоками. Предложенные автором аналогии позволяют экстраполировать решения задач по управлению транспортными потоками на область регулирования финансовых рисков. В работе обосновывается, что финансовой стабильности можно достичь только при минимизации регулирования, а не его ужесточении. ...
Added: January 28, 2017
Penikas H. I., Malkov E. S., Банковское дело 2012 № 5 С. 30-32
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team. ...
Added: May 22, 2012
Tevanyan E., Penikas H. I., Банковское дело 2015 № 7 С. 72-81
Bank of Russia instruction No. 154-I requests to develop remuneration system for bank employees that take and control risks, particularly paying attention to defining variable and deferred parts of remuneration. This paper addresses the first issue to define veariable part of remuneration. Paper offers optimal incentive contract for agents that differ by risk-perception considering the ...
Added: July 5, 2015
Suchkova E. O., Деньги и кредит 2017 № 4 С. 54-61
According to the recommendations of the Basel Committee on Banking Supervision, in each country national approach to identifying systemically important banks should be developed. Beginning in 2014, actual national rules for the regulation of these banks have been undertaken in many countries. This article investigates the current methodological approaches to the identification and regulation of ...
Added: January 24, 2017
Penikas H. I., / Издательский дом ВШЭ. Series WP7 "Математические методы анализа решений в экономике, бизнесе и политике". 2018. No. 1.
Ten years after the global crisis of 2007–2009 the financial regulation has being enhanced with the pace of world stock markets growth. Latter ones have hit their historical maximum values being two to three fold higher than on the eve of the crisis. Such prudential tightening incentivizes using financial technologies to create new banking products ...
Added: October 12, 2018
Penikas H. I., Titova Y., / Высшая школа экономики. Series FE "Financial Economics". 2012. No. 02.
In this paper we elaborate a simple model that allows for the predicting of possible reactions from financial institutions to more stringent regulatory measures introduced by the Basel Committee on Banking Supervision (BCBS) in regard to global systemically important banks (G-SIBs). The context is framed by a 2011 BCBS document that proposes higher capital ...
Added: May 3, 2012
Ermolova M. D., Leonidov A., Nechitailo V. et al., Journal of Simulation 2021 Vol. 15 No. 1-2 P. 82-92
The Basel III regulation raised the minimum capital requirements for banks. However, its implementation may not have reduced systemic risks. Academicians investigating optimal banking regulations do not have a consensus on whether to increase or decrease capital requirements. Here, we use the agent-based approach to study capital regulation and its implications on the evolution of ...
Added: June 26, 2020
Penikas H. I., HSE Economic Journal 2020 Vol. 24 No. 1 P. 9-27
We study the world largest credit risk losses from the year of 1972 when the predecessor of the Basel Committee on Banking Supervision was established. By choosing a round threshold of current USD 100m equivalent of loss amount and the entity total assets in excess of current USD 500m as of the loss announcement date, ...
Added: May 1, 2020
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
Penikas H. I., / Высшая школа экономики. Series FE "Financial Economics". 2012. No. 03.
The Basel Committee of Banking Supervision initiated a discussion on the most efficient practices to prevent bank managers from excessive risk-taking. This paper proposes a game-theoretical approach, describing the decision-making process by a bank manager who chooses his own level of risk and effort. If the level of risk implies the ...
Added: May 3, 2012
Andrievskaya I. K., Lvov N. P., Malkov E. S. et al., Банковское дело 2012 № 2 С. 21-27
Статья продолжает цикл публикаций по анализу предлагаемых Базельским комитетом по банковскому надзору мер регулирования банковской системы на международном и страновом уровнях. Рассматриваются основные положения опубликованного в ноябре 2011 г. консультативного документа, в котором была предложена методика определения требований к капиталу по сделкам с центральными контрагентами. Приводятся комментарии международного сообщества, предлагаются возможные варианты изменений документа, подготовленные ...
Added: September 1, 2012
Kayasheva E., Финансы и кредит 2010 № 43(427) С. 39-47
В статье отмечается, что с 01.08.2010 по указанию Банка России в размер требуемого собственного капитала кредитной организации должен обязательно входить капитал на покрытие потерь от операционного риска. Разъясняется, почему этому виду риска стали уделять особое внимание и выделили его в отдельную категорию при расчете капитала. Даны пояснения, какие требования регулятор предъявляет к банкам в отношении ...
Added: October 12, 2012
Penikas H. I., Анохина М. В., Банковское дело 2014 Т. 10 С. 82-91
The increased role of financial institutions in the economy leads to a need to determine those that are systemically important. The bankruptcy of such institutions creates negative effects for the economy on the global scale. The aim of this article is to identify important financial coefficients that can be used in the methodology of identification ...
Added: November 21, 2014
Kayasheva E., Сытин Ф. М., Управление финансовыми рисками 2008 № 3(15) С. 170-180
Цель данной статьи — ознакомить читателя с требованиями к оценке и управлению кредитными рисками, предъявляемыми Базельским комитетом по банковскому надзору. Также будут предложены практические рекомендации по оценке вероятности дефолта в рамках IRB-подхода в современных российских условиях и расчету ожидаемых и неожиданных потерь по кредитному портфелю.
Содержание статьи.
• Кредитные риски: основные подходы к оценке и управлению ...
Added: February 8, 2013
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
Semenova M., Andrievskaya I. K., Eastern European Economics 2015 Vol. 53 No. 2 P. 69-98
The efficiency of the interbank market depends largely on its inherent disciplining mechanisms. This paper investigates the discipline mechanisms of Russia’s interbank market, testing the hypothesis that market discipline in Russia was strong enough to constrain excessive risk-taking by participating banks before, during, and after the 2008–2009 financial crisis. The existence and efficiency of quantity-based ...
Added: July 16, 2015
Gershman M., Kuznetsova T., Foresight-Russia 2014 Vol. 8 No. 3 P. 58-69
Strengthening the motivation, quality and efficiency of researchers’ work is a pressing issue in all countries. One way to address this challenge is by introducing flexible remuneration mechanisms which are country-specific yet still share certain basic principles such as the relationship between compensation and research productivity. Improving researchers’ remuneration is particularly urgent now in Russia ...
Added: October 1, 2014
Irina Andrievskaya, Semenova M., / Bank of Finland Institute for Economies in Transition. Series DP "BOFIT Discussion Papers". 2013. No. 29/2013.
The interbank market plays an important role in the overall function of the financial system. The efficiency of the interbank market, in turn, depends largely on its inherent disciplining mechanisms. This paper investigates the discipline mechanisms of Russia’s interbank market, testing the hypothesis that market discipline in Russia was strong enough to constrain excessive risk-taking ...
Added: November 17, 2013