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Time Series Analysis of Financial Statements for Default Modelling
P. 281-286.
Credit rating agencies evaluate corporate risks and assign ratings to companies. Each rating grade corresponds to certain boundaries of default probability. KMV is a popular model to assess the default probability of a company. In this paper, a method to predict the default probability of a company is proposed. This method is based on the main concept of the KMV model; however, financial statements are applied instead of stock prices, i.e. time-series of EBIT (earnings before interest and taxes), net debt, sales, and the last year value of WACC (weighted average cost of capital). Default probabilities for 150 companies are evaluated. Results and limitations are discussed.
In book
Vol. 1228. , Springer, 2020
Romanyuk K., Ichkitidze Y., Advances in Intelligent Systems and Computing 2020 No. 28 P. 281-286
Credit rating agencies evaluate corporate risks and assign ratings to companies. Each rating grade corresponds to certain boundaries of default probability. KMV is a popular model to assess the default probability of a company. In this paper, a method to predict the default probability of a company is proposed. This method is based on the ...
Added: October 31, 2020
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
Filipenkov N., Петрова М. А., В кн. : Сборник тезисов 5-й Международной конференции "Проблемы математической и теоретической физики и математическое моделирование". : М. : НИЯУ МИФИ, 2016. С. 84-86.
Эксперименты на модельных пучках временных рядов показали,
что использование меры сходства закономерностей в функционале качества
существенно повышает точность прогнозирования. В рамках экспериментов
был получен диапазон весов, при котором достигается максимальное
качество распознавания. Анализ реальных временных рядов с применением
рассматриваемого алгоритма свидетельствовал об эффективности алгоритма
при краткосрочном прогнозировании. Вместе с тем алгоритм решает и задачу
интеллектуального анализа данных, предложив закономерности, описывающие
взаимосвязь одномерных временных ...
Added: December 8, 2018
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
Suvorov N. V., Вопросы статистики 2016 № 1 С. 53-66
The article describes a method for verification of a statistical model, which is, firstly, the time series is represented by original data and, secondly, is linear in the estimated parameters. Experience in statistical calculations on real empirical data shows that the most well-known and conventionally used in the practice of econometric modeling of mathematical-statistical methods ...
Added: October 19, 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
Mustafin A. R., Вопросы экономики 2022 № 11 С. 57-72
This article uses the records of archival monastic account books to answer a number of questions about trade relations between Russia and the East countries at the second half of the 17th and early 18th century. In particular, for some oriental goods, we can talk about the predominance of the import from Europe. Although contemporaries ...
Added: December 8, 2021
Pikhteev Y., Корнейченко Е. Н., Новопашина А. Н., Известия Саратовского университета. Новая серия. Серия: Экономика. Управление. Право 2020 Т. 20 № 1 С. 4-15
Introduction. National currency exchange rate change can lead to a change in prices for both imported and domestic goods. Therefore, the growth of inflation observed in 2014-2015, accompanied by the ruble depreciation raises the question: what role did currency shocks play in this? The study is devoted to assessing the pass-through in Russia. Theoretical analysis. ...
Added: March 15, 2022
Pomazanov M. V., М. : Юрайт, 2016
Книга посвящена современным подходам по управлению кредитным риском, которые активно внедряются в практику российских банков и крупнейших промыш- ленных 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 ...
Added: October 17, 2016
Ignatov D. I., Spesivtsev P., Kurgansky D. et al., , in : Proceedings of the MACSPro Workshop 2019. Vol. 2478: CEUR Workshop Proceedings.: CEUR-WS.org, 2019. P. 177-184.
The purpose of this study is to identify the position of non- performing inflow zones (sources) in a wellbore by means of machine learning techniques. The training data are obtained using the transient multiphase simulators and represented as the following time-series: bottom- hole pressure, well-head pressure, flowrates of gas, oil, and water along with a ...
Added: November 1, 2019
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
Penikas H. I., 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 ...
Added: May 1, 2020
Ivanov I. V., Prikhodko V. E., Zamotaev I. et al., Eurasian Soil Science 2019 Vol. 52 No. 6 P. 593-609
The relationship between soil formation and sedimentation on the floodplain of the Utyaganka River (the Ural River basin) in the Arkaim Reserve (Chelyabinsk oblast, Southern Ural, Russia) was studied. Pedological, palynological, and mineralogical research methods were applied, and 15 radiocarbon dates of soil humus and sediments were obtained. The thickness of the Holocene sediments on ...
Added: December 1, 2020
Sviyazov V., Экономический журнал Высшей школы экономики 2023 Т. 27 № 3 С. 412-434
The problem of volatility forecasting with and without consideration of weekly seasonality effect (the weekend effect) is examined in this research. The question of the seasonality existence is understood in the following sense: do models, which incorporate seasonality, feature better forecasts? The fuzzy GARCH model, which accounts for a weekly seasonality effect is presented in ...
Added: October 28, 2023
Peresetsky A., Turmuhambetova G., Urga G., Emerging Markets Review 2001 Vol. 2 No. 1 P. 1-16
This study analyzes two issues related to the GKO futures market in Russia in 1996 and 1997. First, we evaluate the existence of a risk premium in this market. We show its existence providing a functional form for the premium. The main result is that risk premium depends positively on the time before delivery of ...
Added: April 16, 2018
Karminsky A. M., Sosyurko V. V., Журнал Новой экономической ассоциации 2011 № 12 С. 102-123
Article proposes comparative studies of credit ratings of the leading Russian and international rating agencies. We analyze approaches and the possibility of comparison of agencies’ rating scales. Purpose of this analysis is to propose method and describe the criteria for comparison of rating scales and the possibility of using standard econometric models. We demonstrate the ...
Added: September 27, 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
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
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
Selivanovskiy A., Научно-образовательный портал «Большая российская энциклопедия» 2023
Credit rating agencies, organizations engaged in the activity of compiling a credit rating - opinions on the ability of a rated entity to fulfill all financial obligations assumed, expressed using a rating category. Credit ratings are calculated on the basis of the past and current financial history of market participants, as well as on the ...
Added: March 19, 2023
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
Kostrov A., В кн. : Сборник лучших выпускных работ - 2012. : М. : Издательский дом НИУ ВШЭ, 2013. С. 239-260.
Совершенствование моделей вероятности дефолта банков является од-ним из перспективных направлений риск-менеджмента, предусмотренных Базельским соглашением в рамках IRB-подхода. В данном исследовании особое внимание уделяется: 1) расширению горизонта эмпирического ис-следования за счет использования российской банковской статистики за период с 1998 по 2011 г.; 2) оценке влияния макроэкономических и инсти-туциональных факторов на вероятность дефолта банка; 3) влиянию нели-нейностей ...
Added: November 8, 2013
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
Sherstinova T., Martynenko G., , in : Internet and Modern Society: Proceedings of the International Conference IMS-2017. : NY : ACM Press, 2017. P. 22-27.
Internet video resources provide wide opportunities for studying dissemination of national cultures and the impact of these cultures in different countries. Thus, YouTube Analytics allows obtaining various information for each video published on YouTube, such as Performance metrics (views and watch time), Engagement metrics (likes, dislikes, comments, etc.), Demographics (information on the gender and the ...
Added: December 31, 2017