The increased role of financial institutions in the economy leads to a need to determine those that are systemically important. The bankruptcy of such institutions creates negative effects for the economy on the global scale. The aim of this article is to identify important financial...

The world financial crisis of 2008-2009 has shown that the existence of systemically important financial institutions (SIFIs) poses serious policy challenges to both developed and developing economies’ authorities. As for now there are different approaches to identifying SIFIs focused on...

The paper aims at finding the most optimal individual, collective, and combined yield curve forecasting models. It is shown that incorporating macroeconomic information improves the model's goodness-of-fit characteristics. It is also proved that combined forecasts perform better on average when...

The article deals with the issue of copula use in the program of market risk hedging. Copula-models performance is compared to the OLS-based ones. Fully parametric and semi-parametric approaches to copula-modeling are investigated. The copula-based models efficiency is illustrated by the fact of...

The Basel Committee introduced countercyclical capital buffers in order to mitigate the effects of bank capital procyclicality, which is to say the decrease in the capital adequacy of banks in economic downturns. The ratio of loans to GDP was taken as the proxy for the economic cycle signaling...

In this research we found that 56.8% of expert recommendations on selling or buying stocks of Russian companies were profitable. We show that the recommendations being publically released have an impact on stock prices, hence market players are likely to follow the recommendations. There also no...

The Basel Committee of Banking Supervision initiated a discussion on the most efficient practices to prevent bank managers from excessive risk-taking. This paper proposes a game-theoretical approach, describing the decision-making process by a bank manager who chooses his own level of risk and...

This essay aims at highlighting the linkage between current international banking regulation (namely, that produced by the Basel Committee on Banking Supervision) and economic activity, which is proxied by the S&P500 stock market index. It is revealed that the amount of regulatory documents...

This paper aims at presenting the research results of revealing a structural shift in copula-models of multivariate time-series. A nonparametric method of structural shift identification and estimation is used. The asymptotical characteristics (the probabilities of the I-type and II-type errors,...

The paper presents the research results on detection of structural breaks in copula models of multivariate time-series. A nonparametric method of structural break identification and estimation is used and its asymptotic characteristics (probabilities of the I and II-type errors, probability of...