The paper presents an econometric study of the two bank ratings assigned by Moody's In-vestors Service. According to Moody s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Financial Strength Ratings (BFSR), taking into account external bank support...

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...

This paper examines the extent to which the observed diversity of private deposit interest rates in Russia is explained by bank financial indicators. We also test for whether the introduction of the bank deposit insurance scheme in 2005 affected deposit interest rates. Our results suggest market...

The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody's methodology, foreign currency long-term deposit ratings are assigned on the basis of Bank Financial Strength Ratings (BFSR), taking into account “external bank support...

The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody’s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Financial Strength Ratings (BFSR), taking into account “external bank support...

The study empirically assesses how macroprudential policy interacts with systemic risk, industrial production, and monetary intervention on a global level from January 2006 to December 2018. We adopt the aggregate proxies of these variables, capturing their global effects, and use a novel...

The paper examines how the type of ownership affects the profit efficiency of Russian banks. Using bank-quarter data for selected banks in the period 2004–2015, we combine stochastic frontier anal-ysis (SFA) methodology with an intermediary approach to assess profit efficiency. Our key...

Under the Basel II accord, improving probability of default models is a key risk-management priority. There are four main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian banking statistics from 1998 to 2011); investigating the...

Investors are being encouraged after the global crisis to reduce their dependence on the largest credit rating agencies for risk assessments of companies and securities. Comparing risk assessments from different sources rapidly becomes non-trivial when more than three credit rating agencies are...

The paper examines how the type of ownership affects the profit efficiency of Russian banks. Using bank-quarter data for selected banks in the period 2004–2015, we combine stochastic frontier anal-ysis (SFA) methodology with an intermediary approach to assess profit efficiency. Our key...