Download or read book Probability of default models of Russian banks written by Anatoly Peresetsky and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Probability of Default Models of Russian Banks written by Anatoly Peresetsky and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents results from an econometric analysis of Russian bank defaults during the period 1997-2003, focusing on the extent to which publicly available information from quarterly bank balance sheets is useful in predicting future defaults. Binary choice models are estimated to construct the probability of default model. We find that preliminary expert clustering or automatic clustering improves the predictive power of the models and incor-poration of macrovariables into the models is useful. Heuristic criteria are suggested to help compare model performance from the perspectives of investors or banks supervision authorities. Russian banking system trends after the crisis 1998 are analyzed with rolling regressions.
Download or read book Probability of Default Models of Russian Banks written by Anatoly Peresetsky and published by . This book was released on 2004 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä.
Download or read book Recent Advances of the Russian Operations Research Society written by Fuad Aleskerov and published by Cambridge Scholars Publishing. This book was released on 2020-03-30 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of articles highlights the most interesting new results from the IX Moscow International Operations Research Conference, the largest Russian meeting in this field, held every three years for leading experts. These papers will interest researchers and organizations specialized in OR, Game Theory, System Analysis, Macro- and Micro-economic Modelling, and Actuarial Mathematics. The volume may be a source for PhD and Master students in the specified areas. The proposed methods for optimal decision making will be useful for insurance and auditing companies, banks, and others. The volume consists of three parts; the first includes game-theoretic models, the second part considers innovations and their possible opposite impact to the growth of GDP and social welfare, as well as new methods for improving reliability of banks’ credit risks, monopolistic competition under heterogeneous labor, interregional trade and different ways of developing the Russian banking system. The last part contains articles on a wide range of optimization problems and their applications.
Download or read book Computational Science ICCS 2009 written by Gabrielle Allen and published by Springer Science & Business Media. This book was released on 2009-05-19 with total page 940 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume set LNCS 5544-5545 constitutes the refereed proceedings of the 9th International Conference on Computational Science, ICCS 2009, held in Baton Rouge, LA, USA in May 2008. The 60 revised papers of the main conference track presented together with the abstracts of 5 keynote talks and the 138 revised papers from 13 workshops were carefully reviewed and selected for inclusion in the three volumes. The general main track of ICSS 2009 was organized in about 20 parallel sessions addressing the following topics: e-Science Applications and Systems, Scheduling, Software Services and Tools, New Hardware and Its Applications, Computer Networks, Simulation of Complex Systems, Image Processing, Optimization Techniques, and Numerical Methods.
Download or read book Managing Portfolio Credit Risk in Banks An Indian Perspective written by Arindam Bandyopadhyay and published by Cambridge University Press. This book was released on 2016-05-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
Download or read book Forecasting Default Probability without Accounting Data written by Dean Fantazzini and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent default of the multinational giants Enron, Parmalat and Worldcom clearly showed how accounting data can be misleading and far away from the true financial situation of a company. When financial fraud takes place, the models that use accounting data to predict default probabilities cannot be used since their forecasts are completely unreliable. To avoid such problems, we propose a novel approach that uses stock prices only, and allows to model departures from normality in stock returns dynamics, too. The parametric bootstrap, based on a conditional marginal model, is used to estimate the distribution of these estimated probabilities and to construct confidence bands. We show an empirical example with quoted Russian stocks as well as with American, Italian and Russian defaulted stocks, whose financial statements were found to be irregular.
Download or read book Financial Econometrics and Empirical Market Microstructure written by Anil K. Bera and published by Springer. This book was released on 2014-11-18 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis.
Download or read book Handbook of Ratings written by Alexander Karminsky and published by Springer. This book was released on 2016-08-04 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook presents a systematic overview of approaches to, diversity, and problems involved in interdisciplinary rating methodologies. Historically, the purpose of ratings is to achieve information transparency regarding a given body’s activities, whether in the field of finance, banking, or sports for example. This book focuses on commonly used rating methods in three important fields: finance, sports, and the social sector. In the world of finance, investment decisions are largely shaped by how positively or negatively economies or financial instruments are rated. Ratings have thus become a basis of trust for investors. Similarly, sports evaluation and funding are largely based on core ratings. From local communities to groups of nations, public investment and funding are also dependent on how these bodies are continuously rated against expected performance targets. As such, ratings need to reflect the consensus of all stakeholders on selected aspects of the work and how to evaluate their success. The public should also have the opportunity to participate in this process. The authors examine current rating approaches from a variety of proposals that are closest to the public consensus, analyzing the rating models and summarizing the methods of their construction. This handbook offers a valuable reference guide for managers, analysts, economists, business informatics specialists, and researchers alike.
Download or read book Bank Supervision Russian Style written by Sophie Claeys and published by . This book was released on 2005 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä.
Download or read book Business Analytics and Business Intelligence Machine Learning Model to Predict Bank Loan Defaults written by dr. V.V.L.N. Sastry and published by Idea Publishing. This book was released on 2020-05-29 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Predictive Analytics offers a unique opportunity to identify future trends and allows organizations to act upon them. In this book we are dealing with ‘loan default’ which is always a threat to banks and financial institutions and should be predicted in advance based on various features of the borrowers or applicants. In this book we aim at applying machine learning models to classify the borrowers with and without loan default from a group of predicting variables and evaluate their performance. As a part of building a model to predict loan default, we have submitted in detail the introduction of the problem, exploratory data analysis (EDA), data cleaning and pre-processing, model building, interpretation, model tuning, model validation, and final interpretation & recommendations. Under the current project of loan default forming part of predictive analytics of business analytics and intelligence, we have studied research-based review parameters in detail which have also been annexed for ready reference as Annexure I. Data dictionary has been annexed as Annexure-2. R. Code for the same is provided at the URL which can be downloaded from www.drvvlnsastry.com/businessanalytics/data The study finds out that logistic regression is the best model to classify those applicants with loan default.
Download or read book Risk Assessment and Financial Regulation in Emerging Markets Banking written by Alexander M. Karminsky and published by Springer Nature. This book was released on 2021-05-11 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes various approaches in modelling financial risks and compiling ratings. Focusing on emerging markets, it illustrates how risk assessment is performed and analyses the use of machine learning methods for financial risk assessment and measurement. It not only offers readers insights into the differences between emerging and developed markets, but also helps them understand the development of risk management approaches for banks. Highlighting current problems connected with the evaluation and modelling of financial risks in the banking sector of emerging markets, the book presents the methodologies applied to credit and market financial risks and integrated and payment risks, and discusses the outcomes. In addition it explores the systemic risks and innovations in banking and risk management by analyzing the features of risk measurement in emerging countries. Lastly, it demonstrates the aggregation of approaches to financial risk for emerging financial markets, comparing the experiences of various countries, including Russia, Belarus, China and Brazil.
Download or read book Do High Deposit Interest Rates Signal Bank Default Evidence from the Russian Retail Deposit Market written by Maria Bondarenko and published by . This book was released on 2018 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years the Russian banking system has witnessed numerous bank license withdrawals. Many of the failed banks had significant volumes of retail deposits in their liabilities, thus, transmitting the default burden to the Deposit Insurance Agency and ultimately to the taxpayers. In their attempt to stay in the market banks may try to attract the depositor funds even more intensively when the failure is not far away. The main assumption of this paper is that banks raise additional funds through inflated deposit interest rates - the overstatement strategy - before leaving the market. We use unique data on Russian bank deposit interest rates for deposits of different maturities in 2015-2016 combined with data about bank fundamentals coming from their financial statements. The results suggest that if a bank offers too generous interest rates for deposits for 180-365 days this can be a signal of a significantly higher probability of license withdrawal in 3 quarters. In their attempt to urgently attract funds when moving closer to default banks assign the highest rates for the longest-term deposits, with the maturity over one year. The interest rates higher than the market average dramatically increase the probability of a bank failure in 2 quarters.
Download or read book Research Handbook of Investing in the Triple Bottom Line written by Sabri Boubaker and published by Edward Elgar Publishing. This book was released on 2018-08-31 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: The triple bottom line is an accounting framework with social, environmental and financial factors. This Handbook examines the nexus between these areas by scrutinising aspects of socially responsible investment, finance and sustainable development, corporate socially responsible banking firms, the stock returns of sustainable firms, green bonds and sustainable financial instruments.
Download or read book Macroeconomic Volatility Institutions and Financial Architectures written by J. Fanelli and published by Springer. This book was released on 2008-01-17 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: The deregulation of domestic financial markets and the capital account in developing countries has frequently been associated with financial turmoil and macro volatility. The book analyzes the experiences of several countries, drawing implications for building development-friendly domestic and international financial architectures.
Download or read book A Ten year Retrospection of the Behavior of Russian Stock Returns written by Stanislav Anatolyev and published by . This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä.
Download or read book Crisis Risk and Stability in Financial Markets written by Juan Fernández de Guevara Radoselovics and published by Springer. This book was released on 2012-11-29 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an in-depth appreciation of key topics related to the behaviour of financial institutions in the crisis and stresses areas of major research interest. It covers a selection of papers specialising ranging from the analysis of bank and stock market performance in the crisis, to other areas such as microinsurance and social lending.
