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Модели рейтингов в интересах риск-менеджмента
С. 23–33.
In book
Кн. 3. , М.: Издательский дом ГУ-ВШЭ, 2007.
Lavrenchuk E. N., Plyusnina L. M., Мышкина У. А., Пермь: ОТ и ДО, 2025.
В учебном пособии дается характеристика риск-менеджмента и подходы к управлению рисками. Представлены российские и зарубежные подходы к управлению рисками, а также рассмотрена возможность увязки методов управленческого учета и "менеджериальных" методов воздействия на величину рисков и финансовые результаты деятельности предприятия. Пособие содержит практическую часть для изучения предложенных материалов. ...
Added: March 21, 2026
Dzhagityan E. P., Алексеева М. Г., Журнал Новой экономической ассоциации 2024 № 2 (63) С. 168–191
Amid increasing uncertainty in the global financial markets, the accumulation of risks in the banking sector highlights the lack of alternatives to macroprudential policy (MPP), including in the light of the bankruptcy of a number of leading U.S. banks. The paper investigates the impact of macroprudential policy on the risks of large U.S. bank holding ...
Added: November 12, 2023
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
Makushkin M., Lapshin V. A., Прикладная эконометрика 2023 Т. 69 С. 5–27
The article is devoted to Value-at-Risk estimation of bonds based on Dynamic Nelson–Siegel model (DNS). Instead of dealing with estimation of future interest rates and their volatiles, DNS model forecasts several unobservable shape parameters of the yield curve. We illustrate that for practical purposes one factor model is enough to correctly estimate bond VaR — ...
Added: March 18, 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
Baev G., Рыжикова Т. Н., Chui S., Инновации в менеджменте 2019 № 2(20) С. 4–9
The publication provides a mechanism for managing complex technical projects, combining the tools of production organization, project management and risk management ...
Added: October 10, 2021
Penikas H. I., Skarednova A., Surkov M., / Series Доклады об экономических исследованиях "WORKING PAPER SERIES". 2021. No. 74.
The recently finalized Basel Framework continues allowing banks to use internal data and models to define risk estimates and use them for the capital adequacy ratio computation. World-wide there are above two thousand banks running the Basel internal models. However, there are countries that have none of such banks. For them there exists a dilemma. ...
Added: July 17, 2021
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
Khasyanova S. Y., М.: ИНФРА-М, 2020.
The book is devoted to assessment and management of banking risks based on international approaches. The application of the methods of assessment, management and risk minimization in commercial banks is considered both in the context of adaptation of the international recommendations and standards in the banking sector of the Russian Federation, as well as in ...
Added: December 6, 2020
Merikas A., Merika A., Penikas H. I. et al., Journal of Economic Asymmetries 2020 Vol. 22 No. e00183
The Basel II accord implemented in 2006, meant that banks worldwide could use Internal Ratings-Based (IRB) models, in order to evaluate the components of their Capital Adequacy Ratio (CAR). In 2017 the IRB approach was also included into the Basel III Framework. The financial crisis of 2007-09 revealed the unsustainability of the Greek debt and ...
Added: November 6, 2020
Кулик В. В., Kremleva I., М.: АНО ДПО "Корпоративный университет Сбербанка", 2015.
Книга «Основы риск-менеджмента» описывает современный системный подход к управлению рисками в коммерческом банке, а также методы и способы управления отдельными, наиболее значимыми для банков видами рисков: кредитным, рыночным, операционным.
Особое внимание уделяется темам, новым для российской банковской практики, таким как интегрированное управление рисками, связь риск-менеджмента с бизнес-процессами и стратегическим планированием, формирование риск-культуры. ...
Added: October 27, 2020
Makarova V. A., Dalal A., Финансы и бизнес 2020 Vol. 16 No. 3 P. 79–99
This paper describes how and to what extent managerial short-termism caused by information asymmetry influences company’s survival. We provide evidence from Russian market, enhancing previous research by defining short-termism phenomenon with the combination of econometric, behavioural and financial analyses. The model showed that an excess of profitability and cash balance increase the risk of default. Moreover, ...
Added: October 21, 2020
Penikas H. I., / Банк России. Серия Серия докладов об экономических исследованиях "Bank of Russia Working Paper Series". 2020. № 56.
Basel III allows for the use of statistical models. It is called the internal-ratings-based (IRB) approach and is based on the (Vasicek, 2002) model. It assumes assets returns are standard normally distributed. It suggests incorporating different asset correlation (R) functions to assess credit risk for the loan portfolio, or the risk-weighted assets (RWA). The asset ...
Added: August 29, 2020
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
Makushkin M., Lapshin V. A., Прикладная эконометрика 2020 Т. 57 С. 30–52
Работа посвящена моделированию взаимосвязей между хвостами распределений до‑ ходностей российского и иностранных фондовых рынков. Для этого применяется модель векторной квантильной авторегрессии VAR for VaR. В результате показано, что Россия — чистый реципиент внешних рисков. Обнаружено, что зависимости между квантилями увеличиваются в кризисные годы. Информация о зависимостях между хвостами помогает улучшить качество прогнозов рисков, хотя для ...
Added: June 9, 2020
Nazarova V., Бахарев В. В., Капустина И. В., Горный журнал 2019 № 8 С. 44–49
Russian gold mining industry is one of the world’s top gold producers. Under conditions of globalization, gold mining has stepped out of the country limits. The Russian market of gold follows the global trends. This article completes a quantitative assessment of risks in the gold mining industry, and proposes a risk management system capable to ...
Added: November 18, 2019
Pomorina M., Банковское дело 1998 № 3
Рассмотрены методы интеграции процессов управления активами-пассивами банка и процессов управления банковскими рисками ...
Added: November 3, 2019
Pomorina M., Банковское дело 1999 № 6 С. 34–40
В статье описана методика анализа финансового состояния банка для целей внутреннего управления ...
Added: November 3, 2019
Pomorina M., Валенцева Н. И., В кн.: Банковский менеджмент.: М.: КноРус, 2019. С. 310–323.
The chapter reveals the problems of assessing and managing interest rate risk of a commercial bank.The chapter reveals the problems of assessing and managing interest rate risk of a commercial bank.The chapter reveals the problems of assessing and managing interest rate risk of a commercial bank. ...
Added: November 3, 2019