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119049
11 Pokrovskiy boulevard, room S629
Phone:
+7 (495) 772-95-90*27447, *27947, *27190
+7 (495) 916-88-08 (Master’s Programme Corporate Finance)
- Email: df@hse.ru
Head of Corporate Finance Research Center, Dr., tenured professor
The HSE School of Finance is the leading Russian competence center in the field of corporate finance, business valuation, banking, stock market, risk management and insurance, accounting and audit.
HSE is the first Russian university in the global ranking "QS - World University Rankings by subject", 2022 in the subject area of Accounting and Finance. Moreover, the university is the 1-st in the rating "THE World University Rankings by subject" in the subject area of Business & Management Studies, 2022
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Edited by: А. Б. Высотская, B. v. Kolk.
Vol. 58. Elsevier, 2022.
Karamysheva M., Seregina E.
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In press
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Research Seminar «Empirical Research in Corporate Finance»
29/03/2022 16:00 online Research Seminar «Empirical Research in Corporate Finance»
Ella Khromova , Lecturer of the School of Finance: «Prediction synergy of credit ratings and probability of default models».
ABSTRACT: The research is aimed at comparing the divergence of existing credit risk models and creating a synergic model with superior forecasting power based on a rating model and probability of default model. The paper demonstrates that rating models, if applied alone, tend to overestimate credit risk of a bank, whereas probability of default models give underestimated results. As a result of the assignment of optimal weights and monotonic transformations to these models, the new synergic model of banks’ credit risks with higher forecasting power was obtained. The research broadens the scope of the PhD thesis towards sophistication of separate models that improves the synergy's model forecasts. The new branches include comparative analysis of Russian and international banks as well as an analysis of COVID-19 effects.
Zoom
Conference ID: 860 2082 4430
Access code: 578429
Webinar (in case of Zoom issues)