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Финансовый рычаг и нестабильность
Вопросы экономики. 2012. № 9. С. 25-40.
In the paper some prominent features of a modern financial system are studied using the model of leverage dynamics. Asset securitization is considered as a major factor increasing aggregate debt and hence systems uncertainty and instability. A simple macrofinancial model includes a logistic equation of leverage dynamics that reveals origins of a financial bubble, thus corresponding closely to the Minsky financial instability hypothesis. Using ROA, ROE, and the interest rate as parameters, the model provides wide spectrum of leverage and default probability trajectories for the short and long run.
Chirkova E. V., Корпоративные финансы 2010 № 3(15) С. 63-72
The article represents a review of the different theories of financial bubbles developed within modern financial theory. It is a concluding article in a series of three articles devoted to the theoretical foundations of financial bubbles. The previous articles are published in the e-journal The Corporate Finance, vol. 13-14, # 1-3, 2010. ...
Added: October 27, 2012
Penikas H. I., Петров В. С., Банковское дело 2014 № 7 С. 28-34
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
Chirkova E. V., Экономическая политика 2010 № 1 С. 81-97
Статья посвящена анализу финансовых пузырей. Автор приводит примеры макро- и микропузырей, дискутирует о том, как можно определить финансовый пузырь, суммирует предпосылки, способствующие надуванию пузыря, а также разбирает признаки его наличия на том или ином рынке. Знание этих признаков поможет решить практическую задачу диагностирования пузыря до того, как он лопнет, что зачастую является нетривиальной задачей. ...
Added: October 23, 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
Chirkova E. V., Корпоративные финансы 2011 № 2 С. 24-32
The article discusses the negative consequences of financial bubbles and the appropriateness of the monetary regulation thereof. The pros and cons of the monetary authorities' possible responses to financial bubbles and the options for the regulator's behavior during the inevitable collapse of the bubble are analyzed based on the availability and effectiveness of the regulatory ...
Added: October 2, 2012
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
Peresetsky A., / University Library of Munich, Germany. Series "MPRA Paper". 2011. No. 41507.
The binary and multinomial logit models are applied for prediction of the Russian banks defaults (license withdrawals) using data from bank balance sheets and macroeconomic indicators. Significantly different models correspond to the two main grounds for license withdrawal: financial insolvency and money laundering. Analysis of data for the period 2005.2–2008.4 for accurate prediction of a ...
Added: March 16, 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
Smirnov A. D., Экономический журнал Высшей школы экономики 2010 Т. 141 № 4 С. 401-439
Proposed a model of financial bubbles and crises based upon the methodology of complex systems analysis. It was shown how the procedures (slice and dice) of a CDO synthesis generated the excess growth of the securitized assets value. The latter being coupled with the high leverage might produce the total collapse of a financial system. ...
Added: October 13, 2012
Nikolaevich Nikolaenko D., Абдухамидов А. В., Управление экономическими системами: электронный научный журнал 2013 № 1
Game-theoretic model of Minsky’s tension is proposed. This model illustrates logic of actions for potential sellers in the context of «animal spirit» of confidence realization and herding behavior for situation when sufficient mass of players has doubts about further market price rise in a period from the end of euphoria until the beginning of panic. ...
Added: March 28, 2015
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
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
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
Chirkova E. V., Финансы: теория и практика 2012 № 1 С. 79-87
In this article the author analyses the characteristics of the economic assets the most suitable for financial bubbles appearance and the preconditions thereof. The best objects for bubble inflation are the investment assets with long life, rare and hard-to-value objects. The development of the bubbles is frequently based on the «new world» paradigm in its ...
Added: March 20, 2013
Chirkova E. V., Экономическая политика 2014 № 3 С. 93-115
In this paper I diagnose the existence of the bubble in the Russian stock market in 2008 by evaluating the preconditions and direct and indirect indications of the stock market bubbles as well as by analyzing the price levels before the market crash. The research has shown that in 2008 in Russia there existed such ...
Added: March 9, 2015
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
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., 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., 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
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
Диагностирование пузыря на рынке акций российских телекоммуникационных компаний в конце 1990-х годов
Chirkova E. V., Тихонов А. А., Корпоративные финансы 2014 № 2(30) С. 34-53
In this paper we study the existence of a speculative bubble in the prices of the Russian telecommunications companies in the late 1990-s. In the study we use the regime-switching-type of econometric test that diagnoses the explosive pattern in the stock prices. Tests that compare series of prices and dividends are not applicable because most ...
Added: March 9, 2015
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
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