This paper represents an empirical research of the growth process in the Russian banking sector during 2004-2010 years. The growth process is modelled by Markov chains. Nine states were used to describe the growth process. Markov chain stationarity check revealed three homogeneous periods. The...

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...

The paper deals with the optimization problem aiming to maximize the expected return given the amount of the bank’s open currency positions subject to the level of foreign exchange risk. The goal of the paper is to compare the efficiency of problem-solving assuming either multivariate...

The paper is aimed at making comparative analysis of main market risk features based on the copula-modeling and on the traditional approach which neglects the asymmetry and the fat tails of interest rates joint multivariate distribution. R software is used for practical implementation of the...

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...