Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests

The study suggests alternative conception of expected and unexpected losses in corporations. Unlike the classical conception, it suggests backing up expected losses with risk capital, taking into account loss causes during different phases of business cycle. Whereas unexpected losses that are the source of uncertainty should be adjusted based on adapted VaR method tests, stress tests and limitations that include principles of dynamic back up allocations. That should ensure timely forecast of significant financial risks guaranteeing efficient development of risk profile of corporations, and in the end increasing potential for efficient control on financial risks. From the standpoint of further conception advancing, a method for determining unexpected VaR losses was developed and implemented; it is supported with special software dedicated to bankruptcy risk symptoms identification in corporations.

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Is the Hawkes Graph Approach Applicable for Examining the Bankruptcy Risk Dependence Structure? An Empirical Analysis of Firms' Bankruptcies in Japan

SSRN Electronic Journal ◽

10.2139/ssrn.3099934 ◽

2018 ◽

Author(s):

Teruo mname Kemmotsu ◽

Hidetoshi mname Nakagawa

Keyword(s):

Empirical Analysis ◽

Dependence Structure ◽

Bankruptcy Risk

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Algorithms Could Replace Stress Tests

Family Practice News ◽

10.1016/s0300-7073(05)70929-4 ◽

2005 ◽

Vol 35 (13) ◽

pp. 18

Author(s):

SHERRY BOSCHERT

Keyword(s):

Stress Tests

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National Currency Appreciation and Growth of the Russian Economy

Voprosy Ekonomiki ◽

10.32609/0042-8736-2004-6-95-111 ◽

2004 ◽

pp. 95-111

Author(s):

T. Zolotoukhina

Keyword(s):

Economic Growth ◽

Exchange Rate ◽

Money Supply ◽

Capital Flows ◽

National Currency ◽

Economic Factors ◽

Exchange Market ◽

Russian Economy ◽

Macroeconomic Indicators

The problem of interaction between Russian currency appreciation and positive dynamics of macroeconomic indicators is studied. Main economic factors of ruble appreciation are analyzed. Consequences of the Russian Central Bank's policy directed to oppose ruble appreciation and problems in financial area due to the increase of money supply through the exchange market are considered. Influence of exchange rate appreciation on economic growth, inflation, export, import, capital flows are discussed. It is concluded that Russian ruble appreciation stimulates an increase in efficiency of the Russian economy.

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Investment Processes in the Russian Economy

Voprosy Ekonomiki ◽

10.32609/0042-8736-2004-6-4-27 ◽

2004 ◽

pp. 4-27 ◽

Cited By ~ 1

Author(s):

V. Lisin

Keyword(s):

Economic Growth ◽

Exchange Rate ◽

Money Supply ◽

Capital Flows ◽

Economic Factors ◽

Exchange Market ◽

Russian Economy ◽

Macroeconomic Indicators

The problem of interaction between Russian currency appreciation and positive dynamics of macroeconomic indicators is studied. Main economic factors of ruble appreciation are analyzed. Consequences of the Russian Central Bank's policy directed to oppose ruble appreciation and problems in financial area due to the increase of money supply through the exchange market are considered. Influence of exchange rate appreciation on economic growth, inflation, export, import, capital flows are discussed. It is concluded that Russian ruble appreciation stimulates an increase in efficiency of the Russian economy.

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Perspectives on inflation Targeting Regime in Russia

Voprosy Ekonomiki ◽

10.32609/0042-8736-2014-11-107-121 ◽

2014 ◽

pp. 107-121 ◽

Cited By ~ 1

Author(s):

S. Andryushin

Keyword(s):

Monetary Policy ◽

Financial Markets ◽

Interest Rates ◽

Inflation Targeting ◽

Short Term ◽

Indirect Control ◽

Financial Account ◽

Domestic Prices ◽

Macroeconomic Indicators ◽

Private And Public

The paper analyzes monetary policy of the Bank of Russia from 2008 to 2014. It presents the dynamics of macroeconomic indicators testifying to inability of the Bank of Russia to transit to inflation targeting regime. It is shown that the presence of short-term interest rates in the top borders of the percentage corridor does not allow to consider the key rate as a basic tool of monetary policy. The article justifies that stability of domestic prices is impossible with-out exchange rate stability. It is proved that to decrease excessive volatility on national consumer and financial markets it is reasonable to apply a policy of managing financial account, actively using for this purpose direct and indirect control tools for the cross-border flows of the private and public capital.

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Stress-testing Russian Banking System: Will Banks Need Government Assistance Again?

Voprosy Ekonomiki ◽

10.32609/0042-8736-2010-4-61-81 ◽

2010 ◽

pp. 61-81 ◽

Cited By ~ 3

Author(s):

O. Solntsev ◽

A. Pestova ◽

M. Mamonov

Keyword(s):

Stress Testing ◽

Banking Sector ◽

Stress Test ◽

Banking System ◽

Government Assistance ◽

Methodological Issues ◽

Loan Portfolio ◽

Macroeconomic Indicators ◽

Remote Stress ◽

Capital Injections

The article analyzes factors that affect growth of the share of non-performing loans in the loan portfolio of Russian banks and proposes approaches for this share forecasting on the basis of dynamics of macroeconomic indicators. It also deals with methodological issues of remote stress-test of lending agencies. Using the results of conducted stress-test of Russian banks the authors assess their perspective capital needs in 2010 and estimate the share of government assistance in capital injections. Furthermore, the authors define the scale of vulnerable banks groups in the Russian banking sector.

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