?
Validation of the effectiveness of the bank retail portfolio risk management procedure
P. 798–805.
The article considers the issue of quantifying the quality of discrimination (approval) in the retail portfolio segments based on current statistical data on the level of refuse of customers who applied to the bank, the current level of defaults and market data (credit history bureaus). The analysis of the economic efficiency of the practiced level of approval/rejection of applications, taking into account the credit risk, is carried out. On the example of several cases, the typical reasons for the weakness of the quality assessments of discrimination of risk procedures are considered.
In book
Vol. 199: The 8th International Conference on Information Technology and Quantitative Management (ITQM 2020 & 2021): Developing Global Digital Economy after COVID-19. , Manchester: Elsevier, 2022.
Nartova-Bochaver S. K., Stakina Y., Тренина М. Е. et al., Клиническая и специальная психология 2026 Т. 15 № 1 С. 166–181
Context and relevance. Eco-anxiety is the anxiety arising in connection with real and possible natural changes and disasters. Eco-anxiety is a significant destabilizer of human activity and therefore needs to be monitored or intervened, which requires a tool to assess its severity. Objective. The present study is aimed at adapting the Hogg Eco-Anxiety Scale (HEAS) ...
Added: April 18, 2026
Pomazanov M. V., The Journal of Risk Model Validation 2026 Vol. 20 No. 1 P. 1–24
This paper proposes a method of designing a statistically distinguishable rating scale
that is not excessive in relation to the existing observation statistics. This allows for
more stable validation with a fixed maximum number of violations of the Wald criterion
compared with the excess scales usually used by banks. The increased validation
robustness will reduce the calibration probability of ...
Added: December 9, 2025
Penikas H. I., / Series Доклады Банка России "Серия докладов об экономических исследованиях". 2022. No. 92.
The Basel Internal-Ratings-Based (IRB) approach allows banks to use sufficiently good credit risk models for the daily computation of their capital adequacy ratio. However, being sufficiently good does not naturally mean being perfect. Conventionally, risk managers increase the mean probability of default (PD) and loss given default (LGD) values by some margin when developing a model. They expect that it is sufficient to offset for potential model risk. This add-on, ...
Added: November 10, 2025
Stepanyants V., , in: 2025 International Russian Automation Conference (RusAutoCon).: IEEE, 2025. P. 982–986.
Transportation systems are complicated and deal with significant problems. With the pool of possible solutions being wide, extensive transportation planning has to be involved. However, planning based on expert opinions is significantly limited in terms of rapidity, accuracy, and confidence. Computer-aided design and automated decision-making systems are the next step to ensure transportation system development ...
Added: October 3, 2025
Storchevoy M., Mylnikov L., Чернышев В. В. et al., / SSRN. Серия "Working Papers". 2025.
Внимание к охране природы принимает все большую значимость для бизнеса с одной стороны в связи с ужесточением в природоохранном законодательстве, а с другой в связи с использованием ESG рейтингов при принятии решений о коммерческой деятельности компаний. Составление рейтинга LLM систем, способных оказывать консультационные услуги в области природоохраны и ESG, позволяет осуществить выбор такой системы для ...
Added: September 18, 2025
Vapnyarskaya O., Rivchun T., Платонова Н. А. et al., Креативные индустрии 2025 № 1 (1) / 2025 С. 37–52
This article presents the results of a survey conducted at the regional level, in order to form an integral assessment of the development of creative industries of a given region. The authors also compared the survey findings with ratings of a similar direction. The increasing interest of regional administrations in the development of regional creative ...
Added: September 12, 2025
Reznichenko S. I., Рожкова Н. А., Человек 2025 Т. 36 № 4 С. 58–73
Identification with the city not only supports the psychological wellbeing of the resident, but also becomes a resource for the development of the city, because committed citizens are more motivated to preserve and protect their city. Meanwhile, there are few ways to measure this phenomenon, and the available ones have limitations or have not been ...
Added: September 1, 2025
Kislitsyn D., Schapov D., Aleksandrova E., Психиатрия 2025 Т. 23 № 2 С. 65–77
Background: the effectiveness of a primary screening system for psychiatric disorders in the population can be enhanced
by using short scales with high psychometric properties. Aim: to evaluate the psychometric properties of the Russian version of the Kessler Psychological Distress Scale. Participants and Methods: the data from three online surveys conducted as part of the study ...
Added: July 7, 2025
Sirotin V., Arkhipova M., Кириллова О. А., Финансы и бизнес 2025 Т. 21 № 4 С. 3–13
The article presents a model of the evolution of the latent regional structure of income inequality based on a two-component model of a mixture of probability distributions, which makes it possible to identify trends in changes in this area. The process of stratification of the regional structure of income inequality is analyzed, accompanied by an ...
Added: April 17, 2025
Björkqvist J., Vähä-Piikkiö O., Alari V. et al., Journal of Operational Oceanography 2020 Vol. 13 No. 1 P. 55–70
WAM, SWAN and WAVEWATCH III® were implemented to the Finnish archipelago with a 0.1 nmi grid. A comparison with coastal wave buoy observations showed that the models agreed on the significant wave height, with biases and root-mean-square-errors (RMSE) differing at most 0.06 m. In a general sense, WAM propagated most long wave energy into the archipelago, while SWAN ...
Added: February 11, 2025
Björkqvist J. -., Vähä-Piikkiö O., Alari V. et al., Journal of Operational Oceanography (United Kingdom) 2020 Vol. 13 No. 1 P. 55–70
WAM, SWAN and WAVEWATCH III® were implemented to the Finnish archipelago with a 0.1 nmi grid. A comparison with coastal wave buoy observations showed that the models agreed on the significant wave height, with biases and root-mean-square-errors (RMSE) differing at most 0.06 m. In a general sense, WAM propagated most long wave energy into the archipelago, while SWAN ...
Added: December 10, 2024
Mikhail Pomazanov, Berezhnoy A., , in: Procedia Computer Science, Volume 242: 11th International Conference on Information Technology and Quantitative Management (ITQM 2024).: ScienceDirect, 2024. P. 348–355.
Once a scoring model has been developed for use in assessing a borrower’s credit risk, under the internal ratings-based (IRB) approach, it must be calibrated to a real-world measure of default frequency. The conservativeness of the calibration is tightly controlled, if it is not violated in the allowed number of digits of the rating scale, ...
Added: September 3, 2024
Starchenko V., Starchenko A., Proceedings of the Institute for System Programming of the RAS 2023 Vol. 35 No. 5 P. 215–228
The study focuses on how modern GEC systems handle character-level errors. We discuss the ways these errors effect the performance of models and test how models of different architectures handle them. We conclude that specialized GEC systems do struggle against correcting non-existent words, and that a simple spellchecker considerably improve overall performance of a model. ...
Added: November 30, 2023
Mikhail Pomazanov, , in: Procedia Computer Science: Tenth International Conference on Information Technology and Quantitative Management (ITQM 2023)Vol. 221.: ScienceDirect, 2023. P. 237–244.
When developing scoring models, Weight of Evidence (WOE) transformation is actively used, which is in demand to improve the discriminating power of the factors included in the model. For WOE transformation, various binning methods are used, the dimension of which is limited by the available statistics. As an alternative, the method of continuous transformation of ...
Added: September 27, 2023
Моисеева М. А., Kulakova T., Финансовый журнал 2023 Т. 15 № 1 С. 74–94
The existing methods of selecting a contractor for projects in the road sector in the Russian system of procurement do not fully take into account his business reputation and his previous experience, which negatively affects the efficiency of public procurement. Based on the analysis of international literature, it is proposed to assess the level of ...
Added: June 8, 2023
Zolotareva A., Клиническая и специальная психология 2023 Т. 12 № 1 С. 18–42
This study was aimed to adapt and analyze the psychometric properties of the Perceived Stress Scale (PSS) in its full (PSS-14) and two short versions (PSS-10, PSS-4). Psychometric analysis of the Russian versions of the PSS was performed on a sample of 558 Russianspeaking respondents, including 278 men and 280 women aged 18 to 78 ...
Added: April 18, 2023
Pomazanov M. V., Управление финансовыми рисками 2023 Т. 73 № 1 С. 18–29
The article examines the stability of indicators of rating models’ discriminatory power (in particular, Gini index) in the context of usefulness of Internal Ratings-Based Approach for credit risk assessment. The author considers the drop in discriminatory power, when it makes sense to abandon this approach, builds a macro model for predicting the Default Rate, and ...
Added: March 20, 2023
M. V. Pomazanov, , in: 9th International Conference on Information Technology and Quantitative ManagementIssue 214.: Elsevier, 2022. P. 565–572.
The paper proposes new second-order accuracy metrics for scoring/rating models, which show the target preference of the model - it is better to diagnose "good" objects or better to diagnose "bad" ones for a constant generally accepted predictive power determined by the first-order metric - the Gini index. Two metrics proposed, they have both an ...
Added: December 9, 2022
Pomazanov M. V., , in: Risk Management, Sustainability and Leadership.: L.: IntechOpen, 2022. Ch. 6.
This chapter discusses the issue of assessing the quality of risk management for a wide segment of retail lending (from consumer loans to loans for self-employed persons and SMEs). The quality of risk management is assessed using the generally recognized approach of the ROC analysis methodology and assessment of the optimal level of discrimination, taking ...
Added: November 16, 2022