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Author: Anatoly Peresetsky Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
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.
Author: Anatoly Peresetsky Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
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.
Author: Fuad Aleskerov Publisher: Cambridge Scholars Publishing ISBN: 1527548953 Category : Business & Economics Languages : en Pages : 299
Book Description
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.
Author: Gabrielle Allen Publisher: Springer Science & Business Media ISBN: 3642019722 Category : Computers Languages : en Pages : 940
Book Description
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.
Author: Dean Fantazzini Publisher: ISBN: Category : Languages : en Pages :
Book Description
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.
Author: Anil K. Bera Publisher: Springer ISBN: 3319099469 Category : Business & Economics Languages : en Pages : 282
Book Description
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.
Author: Alexander Karminsky Publisher: Springer ISBN: 3319392611 Category : Business & Economics Languages : en Pages : 366
Book Description
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.
Author: Stefan Trueck Publisher: Academic Press ISBN: 0080920306 Category : Business & Economics Languages : en Pages : 279
Book Description
In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book The book is based on in-depth work by Trueck and Rachev
Author: J. Fanelli Publisher: Springer ISBN: 0230590187 Category : Business & Economics Languages : en Pages : 425
Book Description
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.
Author: Anatoly Peresetsky
Author: Anatoly Peresetsky
Author: Anatoly Peresetsky
Author: Fuad Aleskerov
Author: Gabrielle Allen
Author: Dean Fantazzini
Author: Anil K. Bera
Author: Alexander Karminsky
Author: Stefan Trueck
Author: Sophie Claeys
Author: J. Fanelli