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Loss Given Default Estimations in Emerging Capital Markets
Ch. 6. P. 145–175.
This paper proposes an approach to decompose the RR/LGD model development process with two stages, specifically, for the RR/LGD rating model, and to calibrate the model using a linear form that minimizes residual risk. The residual risk in the recovery of defaulted debts is determined by the high uncertainty of the recovery level according to its average expected level. Such residual risk should be considered in the capital requirements for unexpected losses in the loan portfolio. This paper considers a simple residual risk model defined by one parameter. By developing an optimal RR/LGD model, it is proposed to use a residual risk metric. This metric gives the final formula for calibrating the LGD model, which is proposed for the linear model. Residual risk parameters are calculated for RR/LGD models for several open data sources for developed and developing markets. An implied method for updating the RR/LGD model is constructed with a correction for incomplete recovery through the recovery curve, which is built on the training sets. Based on the recovery curve, a recovery indicator is proposed which is useful for monitoring and collecting payments. The given recommendations are important for validating the parameters of RR/LGD model.
In book
Springer, 2021.
Vlada Shenevskaia, Sergey Grishunin, Alyona Astakhova, , in: Proceedings of the 44th Eurasia Business and Economics Society Conference, Istanbul 2023. Eurasian Business and Economics Perspectives. (EBES, volume 31).: Switzerland: Springer, 2024. P. 209–229.
The study focuses on estimating the creditworthiness of industrial enterprises in the Eurozone and North America, using a sample of 122 companies from 2008 to 2022. The data framework consists of annual financial, macroeconomic, and ESG risk factors. The paper’s principal contribution lies in a comparative examination of advanced modelling approaches for assessing the credit ...
Added: June 28, 2026
Mishin A., Guerrieri L., Canzoneri M. et al., / Series 2026-042 "Finance and Economics Discussion Series (FEDS)". 2026.
Added: June 27, 2026
Semenova M., Loginova Y., Balsevich A. A., Pacific-Basin Finance Journal 2026 Vol. 97 Article 103118
This paper examines the effect of board gender diversity on bank performance during the COVID-19 crisis. Using a panel dataset of 173 European banks spanning the period 2010–2022, we find that the presence of female directors on bank boards is positively associated with profitability and solvency during the pandemic period. The positive impact is more ...
Added: February 22, 2026
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
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
Yuliana Loginova, Semenova M., / Series WP BRP "Financial Economics". 2024. No. 94/FE/2024.
This paper explores the impact of board gender diversity on bank performance during the
COVID-19 crisis. Using data from 87 European banks from 2015 to 2021, we show that the
presence of women on bank boards had a positive impact on bank profitability during the
COVID-19 crisis. This effect is more pronounced in countries where the morbidity rate ...
Added: February 14, 2024
Mishin A., Review of Economic Dynamics 2023 Vol. 51 P. 965–990
Regulated banks expand relative to shadow banks in recessions and when credit spreads are high, while regulated banks shrink relative to shadow banks in expansions and when credit spreads are low. Motivated by these facts, I build a quantitative general equilibrium model with endogenous risk taking to study how competitive interactions between regulated banks and ...
Added: December 16, 2023
Arkhipova N., Karminsky A. M., Procedia Computer Science 2023 Vol. 221 P. 1091–1098
This paper investigates and defines the concept of "credit behavior". A number of factors influencing credit behaviour of the population were identified. Among them are economic factors, e.g. income and expenses, debt burden, unemployment, interest rates, etc. Another important group of factors impacting credit behavior is social aspects, i.e. level of education, social status, financial and digital ...
Added: November 17, 2023
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
Afanasev V., Journal of Corporate Finance Research 2023 Vol. 17 No. 1 P. 64–77
The author tested the hypothesis that default prediction based on financial data may be inapplicable to Russian service sector organizations by analyzing the differences in the accuracy of models based solely on financial data for service providers from Russia and developed European countries. Logistic regression, Random Forest and K-nearest neighbors machine learning methods were used as modeling ...
Added: May 21, 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
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
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
Dean Fantazzini, Calabrese R., Journal of Risk and Financial Management 2021 Vol. 14 No. 11 Article 516
While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we considered a unique dataset of 144 exchanges, active from the first quarter of 2018 to the first quarter of 2021. We analyzed the determinants surrounding the decision to close an exchange using ...
Added: July 31, 2022
Fantazzini D., Journal of Risk and Financial Management 2022 Vol. 15 No. 7 Article 304
This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice; alternative forecasting models, ranging from credit scoring models to machine learning and time-series-based models; and ...
Added: July 28, 2022
Grishunin S., Bukreeva Alesya, Alyona A., , in: The 8th International Conference on Information Technology and Quantitative Management (ITQM 2020 & 2021): Developing Global Digital Economy after COVID-19Vol. 199: The 8th International Conference on Information Technology and Quantitative Management (ITQM 2020 & 2021): Developing Global Digital Economy after COVID-19.: Manchester: Elsevier, 2022. P. 190–197.
In this study, we analyzed the determinants of insolvency for Russian insurance companies (ICs). The relevance of the paper is underpinned by strong interest of investors to emerging insurance industry due to their strong growth. But this growth comes with elevated risk. Thus, identification of key drivers of ICs insolvency risk is the critical task there. ...
Added: May 22, 2022
Berezinets I., Loginova A., Contributions to Game Theory and Management 2021 Vol. 14 P. 20–37
Both the estimation of economic capital for bank's credit risk coverage, and the allocation of economic capital by sources in order to determine the contribution of individual elements to total credit risk play an important role in the area of risk management of a bank. The estimation of a bank's economic capital for credit risk ...
Added: May 17, 2022
Nazarova V., Иванова А. Н., Финансовый журнал 2022 Т. 14 № 1 С. 89–107
In recent years, U.S. share buyback costs have hit record highs, in part due to the 2017 Tax Reform, shareholder activity and record low borrowing costs.. The purpose of the study is to study the reasons for choosing a policy of payments to investors in American companies and the impact of share buybacks on the ...
Added: April 6, 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
Iakimenko I., Semenova M., Zimin E., / Series WP BRP "HSE University Series: Financial Economics ". 2021. No. WP BRP 85/FE/2021.
Correctly estimating borrower credit risk is a task of particular and growing importance for 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 literature, however, whether more, and more detailed, borrower information shared by credit ...
Added: November 10, 2021
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