Rudko-Silivanov Viktor, Naumov Andrey, Yakukhny Evgeny
The article suggests the method of estimating credit bank’s bond portfolios in terms of Bank of Russia risk-based supervision. Approaches to the estimation of banks investments in debt securities according to inherent risks are reviewed. Attention is given to the bonds yield to maturity forecasting with the use of neural networks and their influence on the banks capital adequacy.
Objectives of real implementation of oversight in the national payment system require further elaboration, concretizing the requirements of legislation and the Bank of Russia regulations. They are very connected with the application of international standards and the best world practice. The article discusses the possible solutions of the above objectives, taking into account the need for strategic planning in the development of the national payment system.
In the article on the example of Belorussian economy the necessity to account the dynamics of cash flows in assessing the demand for money and money supply optimization is argued. In the issue of presentation of commodity money exchange as an equation of cash flow and also earlier suggested monetary indicator of business activity as an index of the number of payment transactions the possibility of monitoring inflationary pressures through the payment dynamics is discussed. On this basis the author suggests the formation and involvement in macroeconomic analysis of systematic statistical information on the distribution of cash flows in the economy by using the system of interconnected cross-sectoral, inter-segment and factor balance sheets «Payments-Output».
The article highlights the process of historical development of bank bankruptcy prevention mechanisms and institutions. The first and most significant attempts of U.S. and Canadian commercial banks to cope with banking panics during XIX century to avoid bankruptcies were market-oriented mechanisms such as interbank mutual-guarantee systems, arrangements for coordinated response to banking panics within private banking associations. The evolutionary character of both central banks’ taking the function of lender-of-last-resort for liquidity assistance and development of explicit deposit insurance systems is emphasized. Moreover, bank bankruptcy prevention mechanisms like «purchase and assumption» (P&A) and «open bank assistance» used in U.S.A. as well as recent proposals for creating the European banking union are described in this article There is reflected how international experience has influenced the development of bank bankruptcy prevention institutions and mechanisms in Russia.
The article deals with general finance-economic preconditions which led to introduction of gold standard in Russia and the discussion which had been going on in the conservative press on this issue deviding the scientists into supporters and opponents of gold monometallism.
In the article an approach to creation of regression models for short-term forecasting of macroeconomic variables using search volumes statistics in Internet offered by Goolge company as its service GoogleTrends is suggested. As examples the net private capital flight forecasting model and unemployment forecasting model in Russian economy are created.
Djagityan Eduard, Silvestrov Sergey
The article attempts a holistic study of the U.S. banking regulation reform spotlighting its paradigm shift from short-term benefits to enduring prioritization of firm-specific and systemic risks. It is found that a package of prudential tools and techniques developed to protect U.S. banks from environmental challenges is not a panacea for instability of the U.S. economy. Synchronization of Dodd-Frank Act with Basel III recommendations will contribute to better understanding of the risk management realm while internationalization of regulation will best support sustainable performance and growth of multinational banks. It is also revealed that market equilibrium requires inter alia an advanced stress-testing practice amplified by qualitative-centered scenarios that would more effectively and efficiently disentangle concealed yet critical risk-related factors. Based on the U.S. reform experience relevant recommendations are developed for the Russian banking sector.
Vlasov Viktor, Vlasov Sergey, Alekseev Sergey, Soroka Raisa
In the article the benefits and disadvantages of VaR analysis are studied. It is shown that the using of VaR in some cases is not optima