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Automation of the Approach to Replicating Data When the Control Group Is Depleted in The Difference-In-Differences Method: Application to IRB Implementation Data Samples
Procedia Computer Science. 2022. Vol. 199. P. 231–237.
Internal-Ratings Based (IRB) approach is one of the founding blocks in the modern credit risk management and regulation. Its implementations by the banks world-wide incentivizes researchers, central bankers and investors to evaluate the outcome versus the non-IRB banks, i.e., the treatment effect. However, there are obstacles in such evaluation. From one side, all the banks may transit to IRB for a relatively modest economy (like Greece). From another side, there is no single IRB transition point (like in the EU where the transition is voluntarily; a single point exists for the USA where the transition was mandatory for the largest banks). That is why we discuss the problem of the ‘control’ group depletion (attrition) in the Difference-in-Differences method. We provide two ways to replicate data using python language. The first code is based on the matrix structure (object * time), the second – panel data structure. Comparing both ways of the data replication (resampling) we choose the second algorithm due to it versality and faster computing results, than the first one.
Ahsan M., Imran Ali, Chemical Papers 2026
Benzenoid hydrocarbons are structurally regular aromatic compounds, which makes them well suited for quantitative structure–property relationship (QSPR) studies. This study presents a QSPR analysis of nineteen benzenoid hydrocarbon species using degree-based topological co-indices. We developed a Python program to compute eleven degree-based topological co-indices from molecular graphs and evaluated their ability to explain variations in ...
Added: September 8, 2026
Penikas H. I., Вопросы экономики 2026 № 7 С. 134–148
Текстогенерирующие системы искусственного интеллекта пугают ученых тем, что лжепубликации могут вытеснить статьи настоящих ученых — полностью выдуманные или написанные на выдуманных данных. Современная история развития науки ими полна. Однако требование редакций журналов предоставлять данные и коды к статьям и их проверка редакцией на воспроизводимость до отправки рецензентам может существенно снизить риски публикации недобросовестных текстов, особенно ...
Added: July 8, 2026
Viazmin A., Чапанова М. Р., Морозов М. С. et al., Нервно-мышечные болезни 2025 Т. 15 № 2 С. 28–36
Objective. To present Kinematic 4, a software tool designed for automated analysis of reach-to-grasp and object transport movements using data obtained from motion capture systems.
Materials and Methods. The software was developed in Python and implements algorithms for automatic detection of key temporal events in motor actions. Initially validated in MATLAB, the algorithmic framework was adapted ...
Added: September 2, 2025
Князева И., Лысов И. И., Курочкин Е. et al., Astronomy and Computing 2025 Vol. 51 P. 100918–0
The advancement of observational technologies and software for processing and visualizing spectro-polarimetric microwave data obtained with the RATAN-600 radio telescope opens new opportunities for studying the physical characteristics of solar plasma at the levels of the chromosphere and corona. These levels remain some difficult to detect in the ultraviolet and X-ray ranges. The development of ...
Added: December 10, 2024
Penikas H. I., Вопросы экономики 2024 № 12 С. 69–85
Предложено развитие модели Мертона-Васичека для учета валютных кредитов в портфеле ссуд и определения величины валютных макронадбавок к риск-весам в нормативе достаточности капитала. Показано, как величины надбавок зависят от волатильности обменного курса, и от соотношения валютных активов и пассивов типичных заемщиков в таком портфеле ссуд. Дополнительно обоснована целесообразность аддитивного, а не мультипликативного учета валютного курса в ...
Added: November 17, 2024
Penikas H. I., Risk Management 2023 Vol. 25 No. 4 P. 1–30
Validation procedures are designed to prevent IRB models with model risk from being used in day-to-day business operations. The models that do pass are expected to entail negligible model risk. However, no one has studied the magnitude of such risk. Moreover, most of the prior literature criticises the IRB models either for missing certain features ...
Added: September 27, 2023
Penikas H. I., Model Assisted Statistics and Applications 2022 Vol. 17 No. 1 P. 27–39
The Bank of Russia is one of the unique banking regulators in the world as it discloses granular reporting information per the existing credit institutions with the available historical track record. Same time the number of banks dramatically declined from above two and a half thousands in 1990s to one thousand in 2010 and to ...
Added: July 28, 2023
Penikas H. I., Surkov M., Скареднова А. Э., Quarterly Journal of Finance 2023
The recently finalised Basel Framework continues to allow banks to use internal data and models to define risk estimates and use them to compute their capital adequacy ratios. Globally, there are more than two thousand banks running Basel internal models. However, there are countries that have no such banks. They face the dilemma of which ...
Added: July 28, 2023
Budnik R., Интеллектуальная собственность. Авторское право и смежные права 2023 № 3 С. 5–17
The purpose of this article is a studying the legal aspects of such an innovative phenomenon as the creation of a digital twin of a person using computer technology for training a neural network. The methodology of this work is the legal analysis of those scientific and technical phenomena that take part in this methodology. ...
Added: July 5, 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
Смирнов И. А., КРАВЧЕНКО В. О., Разумов П. В. et al., ГНИИ "НацРазвитие", 2019.
this article will describe the various methods of exchanging data between
processes, with the subsequent conclusion about the speed of each. Tests were conducted on
different processors and different versions of operating systems. This study was conducted to find
out the fastest way to transfer data between processes on a Jetson TX2 supercomputer compared to
other platforms. ...
Added: May 11, 2023
Kekecs Z., Palfi B., Szecsi P. et al., Royal Society Open Science 2023 Vol. 10 No. 2 Article 191375
The low reproducibility rate in social sciences has produced hesitation among researchers in accepting published findings at their face value. Despite the advent of initiatives to increase transparency in research reporting, the field is still lacking tools to verify the credibility of research reports. In the present paper, we describe methodologies that let researchers craft ...
Added: January 23, 2023
Penikas H. I., Risk Management 2023 Vol. 25 P. 1–27
There is a vast amount of literature criticizing the Basel Committee approach to the credit risk regulation, more specifically, the Internal Ratings-Based (IRB), as an excessively conservative one. However, the novelty of the current paper is that we identify when the IRB approach is too lax, i.e., we are able to present cases with the ...
Added: January 9, 2023
Kotyrlo E., Nikulina Y., Zaytsev A., Экономический журнал Высшей школы экономики 2021 Т. 25 № 4 С. 515–539
Since 2014, Russia is under the EU-sanction and counter-sanctions policies. Agri-food embargo as Russian restrictions on import of agriculture and food can be considered as an incentive for the development in agriculture. In 2015–2018, employment in agriculture stabilized although a continuous decline was observed over the past decades. We hypothesise that counter-sanctions had a positive ...
Added: January 10, 2022
Aslanov I., Sudorgina Y., Kotov A. A., Frontiers in Psychology 2022 Vol. 12 Article 6398
In this study we replicated the explanatory effect of a label which had been found by Giffin et al. (2017). In their experiments, they used vignettes describing an odd behavior of a person based on culturally specific disorders that were unfamiliar to respondents. It turned out that explanations which explain an odd behavior through a person’s ...
Added: January 6, 2022
Leontiev D., Экспериментальная психология 2020 Т. 13 № 4 С. 192–204
The aim of the paper is highlighting problems associated with attempts to replicate well-known psychological experiments on the example of the effect of depletion of self-regulation resource, or “ego depletion” (Roy Baumeister). The publication of this effect in 1998 was followed by a long and rich history of its checking in varied modifications, attempts to ...
Added: October 31, 2021
Penikas H. I., Финансы и бизнес 2021 Vol. 17 No. 3 P. 50–61
The objective of the current paper is to justify how the natural monopoly regulation principles are worth applying in banking. Tirole required that the natural monopolies gradually reduce their tariffs throughout the years. In relationship tobanking his principle means that the systemically important banks should be required to gradually reduce the risk taken, i.e., to decrease the risk-weights used for the capital adequacy ratio. Such a regulation delivers ...
Added: October 13, 2021
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