Research Seminar on Empirical Studies of Banking

The Seminar is co-chaired by Prof. Alexander Karminsky and Prof. Andrei Vernikov, both from Department of Banking of the Higher School of Economics (National Research University)

The purpose of the Seminar is to set a platform for discussion of topical issues and results of empirical studies of banking. Post-graduate students must present their working progress and research results at the Seminar.
Seminar_schedule_in_2014-2015 - Updated_on_Sept.15,2014

Periodicity		The Seminar holds monthly sessions during the academic semesters. The first meeting was held on February 15, 2010
Participants		Master’s and post-graduate students of the Department of Banking, teachers, banking industry experts.
Speakers		Graduate and post-graduate students, professors, researchers, local and foreign experts engaged in empirical research of banking. Every speaker is expected to provide in advance a written text (seminar paper, conference paper, an academic publication). Priority is given to papers containing empirical research and compilation of statistical data. Seminar papers may be published in the working papers of the HSE and in Russian academic journals

Address		Moscow, Shabolovka, 26
Contacts		HSE Department of Banking, Shabolovka, 26, buiding 4, room 4313. HSE Academic Department of Finance, Shabolovka, 26, buiding 4, room 4415a, email: df@hse.ru.
Coordinator		Ms. Natalie Dyachkova 8 (916) 980-96-19, nfdyachkova@gmail.com

Session № 2014-48

October 2, 2014

1. Dr. Alexei Karas (PhD, Assistant Professor, University of Utrecht)
«Evaluating theories of bank runs with heterogeneity restrictions»

Abstract: This paper empirically tests theories of bank runs.We use a structural panel VAR to extract runs from deposit market data. Identification exploits cross-sectional heterogeneity in deposit insurance: we identify bank runs as adverse deposit market supply shocks hitting uninsured banks harder compared to insured. Conditional on a run, we study the behavior of uninsured banks with bad and good fundamentals.We find that both experience runs, but deposit outflows at the former are more severe. Panic effects, which affect all uninsured deposits alike, irrespective of fundamentals, dominate in the aggregate. Insured banks partially absorb the outflow of uninsured deposits.

JEL codes: C3, E5, G01, G21

Materials: Evaluating theories of bank runs with heterogeneity restrictions.pdf

Session № 2014-45

April 2, 2014

1. Laurent Weill - Professor, EM Strasbourg Business School, University of Strasbourg and Bank of Finland 'Does money buy credit? Firm-level evidence on bribery and bank debt'

Abstract: This study examines how bribery influences bank debt ratios for a large sample of firms from 14 transition countries. We combine information on bribery practices from the BEEPS survey with firm-level accounting data from the Amadeus database. Bribery is measured by the frequency of extra unofficial payments to officials to “get things done”. We find that bribery is positively related to firms’ bank debt ratios, which provides evi-dence that bribing bank officials facilitates firms’ access to bank loans. This impact differs with the maturity of bank debt, as bribery contributes to higher short-term bank debt ratios but lower long-term bank debt ratios. Finally, we find that the institutional characteristics of the banking industry influence the relation between bribery and firms’ bank debt ratios. Higher levels of financial development constrain the positive effects of bribery whereas larger market shares of state-owned banks have the opposite effect. Foreign bank presence also affects the impact of bribery, albeit this effect depends on the maturity of firms’ bank-debt.

Keywords: bank lending, bribery, corruption, Eastern Europe.

Materials: Does money buy credit? Firm-level evidence on bribery and bank debt_F. Zuzana, A. Kochanova, L. Weill

2. Zuzana Fungáčová - PhD, BOFIT - Bank of Finland Institute for Economies in Transition, Helsinki 'Financial Inclusion in China'

Abstract:We use data from the World Bank Global Findex database for 2011 to analyze financial inclusion in China. We study financial inclusion in China and compare it with the other BRICS countries. We observe high level of financial inclusion in China with higher use of formal account and formal saving than in the other BRICS. Financial exclusion i.e. not having a formal account is mainly voluntary. The use of formal credit is however less frequent in China than in the other BRICS. Borrowing through family or friends is the most common way of obtaining credit in all BRICS, but other channels for borrowing are not very commonly used by individuals in China. We find that higher income, better education, being a man, and being older are associated with higher use of formal account and formal credit in China. Income and education influence the use of alternative sources of borrowing. Thus financial inclusion does not constitute a major problem in China. Nevertheless, relatively low use of formal credit can create a challenge for further economic development.

Keywords: financial inclusion, financial institutions, China.

Materials: Financial Inclusion in Сhina_F. Zuzana, L. Weill

Session № 2014-41

February 19, 2014

1. Mikhail Stolbov - PhD. in Economics and Associate Professor, Department of Applied Economics, Moscow State Institute of International Relations (MGIMO–University) ‘ Anatomy of international banking crises at the onset of the Great Recession’

Abstract:The paper examines a wide range of potential predictors of 25 international banking crises that broke out in 2007–2011 on the basis of cross–sectional logit models and the BCT (binary classification tree) algorithm, a novel technique in assessing the causes of banking crises. The major determinants of the crises arise from excessive credit depth (measured as private credit to GDP ratio) and illiquidity of the banking sector (credits to deposits ratio). The implementation of explicit deposit insurance schemes is also a pro–crisis factor due to the moral hazard effect they tend to cause. On the contrary, higher values of remittance inflows to GDP decrease the susceptibility to banking crises. These findings are robust under both methodologies. Lower bank concentration, bigger values of cost to income ratios as well as a higher level of economic liberalization make countries more vulnerable to banking crises, as derived from the logit analysis.

Materials: Anatomy of international banking crises at the onset of the Great Recession

2. Irina Sukhareva - Center for Macroeconomic Analysis and Short-Term Forecasting (CMASF), expert. ‘Monetary rule evolution and interest rate risk evaluation for the Russian banking sector’

Abstract: The report describes the results of development and implementation of the leading indicators system directed at interest rate risk realization forecast for the Russian banking sector. This system was constructed on the base of econometric modeling and an early warning signals approach. It includes modeling key monetary rate and weighted-average corporate and retail loan rates dynamics. Leading indicators system implementation consists in forecasting probability of system interest rate risk realization for the Russian banking sector in 2014.

Materials: Monetary rule evolution and interest rate risk evaluation for the Russian banking sector

Session № 2013-39

December 11, 2013

Oleg Shvyrkov - PhD (Econ.), Director for Corporate Governance, Deloitte & Touche. 'Practical researches in the field of corporate governance'

Abstract: In this survey, we take stock of the recent years’ progress by analysing the board compositions of 135 listed Russian companies. We note, however, that there has been a growing awareness of the importance of corporate governance in Russia in recent years, and that at least two major drivers for improving governance have been present.
Firstly, the number of cross-listed and foreign- listed Russian companies has grown to about 70 in 2012. These companies were likely required to strengthen their corporate governance structures due to the rules surrounding foreign listings, or at least faced increased scrutiny by analysts and investors, including on governance issues.
Secondly, the Russian government has shown concern for the standard of governance at state-owned enterprises (SOEs), and has been seeking to appoint outside directors to companies under its control since 2008. According to data provided to us by Rosimushestvo, the government’s asset management agency, the scope of companies involved in the programme has reached 847, with 2113 external appointments having taken place during the 2012 proxy season (including 612 independent directorships and 1512 professional attorney positions). Although not without controversy in terms of the independence criteria applied, it is encouraging to know that this programme, aimed at strengthening corporate governance at SOEs, is in motion.
Questions remain, however, as to how effectual these developments were, which of the two drivers was more impactful, and whether Russia is really on its track to close the corporate governance gap with respect to global financial hubs.

Materials: Deloitte_survey-governance-structures_12_EN.pdf SP_report_CG_q_impact_performance_10_eng.pdf

Session № 2013-38

November 20, 2013

1. Mikhail Mamonov (Center for Macroeconomic Analysis and Short-Term Forecasting (CMASF); National Research University Higher School of Economics, Laboratory for Analysis and Forecast of Economic Pro-cesses, Center for Fundamental Studies) 'State banks vs private banking sector: Who is more effective?'

Abstract:The article presents an empirical comparison of different groups within the Russian banking sector in terms of their operating efficiency as measured by the cost-to-income ratio. Our key findings are as follows. The state-owned banks are more efficient than private ones, which is confirmed through a series of alternative calculations.

Key words: State-owned banks, private-owned banks, foreign-owned banks, operating efficiency, cost-to-income ratio.

Presentation: State banks vs private banking sector Who is more effective.pdf

2. Vadim Pliev (Postgraduate. National Research University – Higher School of Economics Faculty of Economics, Department of Banking and finance) 'The influence of bank mergers and acquisitions on banking sector competition'

Abstract: The article analyses the existing approaches and methods of measuring competition in order to assess the linkage between bank consolidation and competition. For these purposes the data covering banks involved in M&A deals in Russia in the period of 2006-2010 were used. The final model forecasts the change of bank competition (measured by Panzar-Rosse H-statistic) in respond to banks consolidation.

Keywords: banks, competition, M&A deals, market structure, non-structural approach, Panzar-Rosse model, Herfindahl-Hirschman index (HHI)

Presentation: The influence of bank mergers and acquis..ing sector competition_V. Pliev.pdf

Session № 2013-37

October 16, 2013

1. Poroshina Аgatha (Department of Applied Mathematics and Modeling in Social Systems: Lecturer, HSE) 'Assessing the probability of default for mortgage residential lending with using a system of econometric models'

Abstract:This study analyzes the problems of credit risk modeling on the Russian residential mortgage market. The structural model of the credit risk evaluation, which controls for the sample selection bias and endogeneity, is presented. It estimated based on the regional mortgage data from the period 2008 – 2012. This research takes into account a simultaneous solution of a borrower by using a system of simultaneous equations. The empirical results provided evidence that mortgage borrowers of regional branches of AHML (Agency Of Home Mortgage Lending) are more risky. Obtained results demonstrated a predictive power and can be used to adjust existing risk management systems in credit organizations.

Key words: credit risk, mortgage lending, sample selection, endogeneity

Presentation: Assessing the probability of default for mortgage residential lending with using a system of econometric models

2. Rodina Victoriya (International Laboratory for Institutional Analysis of Economic Reforms (LIA): Research Assistant, HSE) 'Informal loans in Russia: credit rationing or borrower’s choice?'

Abstract: This paper examines the strategies of Russian households for choosing either the formal or informal banking sector as a source of credit. We aim to learn why households refuse to become clients of a bank and prefer to instead raise funds by borrowing from individuals – friends, colleagues, relatives, and other private parties. We use the results of “Monitoring the Financial Behavior of the Population” (2009-2010), a national survey of Russian households. Our results suggest that a household’s choice of the informal credit market is based not only on economic factors, but also on some institutional ones, including financial literacy, trust in the banking sector, and credit discipline. We show that choosing the informal market is explained by a lack of financial literacy, measured by mathematical competence and home accounting, as well as by a lack of trust in the banking sector as a whole. Borrowers from private parties demonstrate a higher degree of credit discipline: those who believe that repaying a loan is not obligatory are less frequently among informal borrowers and they choose the bank credit market. Our findings, however, are still in line with credit rationing theory. We show that better financial conditions reduce a household’s probability to use both formal and informal credit markets in favor of pure bank borrowing.

Presentation: Informal loans in Russia: credit rationing or borrower’s choice?

Session № 2013-36

September 25, 2013

1. Vadim Kiselev (Post-graduate student, Banking Department, HSE) "Composing System of Indicators for Banking Crises"

Abstract: The report contains results of modeling the system of indicators for banking crises for different countries on cross-countries and country-specific basis. The research sample contains cross-country data of 114 states for 1970-2012 year period.
Also current report discuss the problems of empirical definition of the banking crises, as well as methods of modeling the system of indicators, choosing the variables for the system and forecasting crises events.
The comparison of results of cross-countries indicators system with country-specific systems shown advantage of country-specific approach. In addition, the composite indicator of the banking crises estimated on a weighted-average basis of best-performing individual signals performs appropriate result for 38 countries from the sample (based on criteria noise-to-signal balance measure higher then 50%).

Presentation: Composing System of Indicators for Banking Crises

2. Xenia Totmjanina (Post-graduate student, Banking Department, HSE) 'Assessment of probability of default for russian corporates in conditions of cyclicality'

Abstract: Researches conducted in 2005-2010 had demonstrated that the Basel II credit risk assesment methods are exposed to pro-cyclicality effect ( lead to increased amplitude of the economic cycle). In this regard, the use of IRB-approach can initiate instability in the analysis of other risk parameters and lead to unstability of the financial system at whole. The economic crisis of 2007-2009 became a true reflection of this hypothesis, and caused to increase of scientific and practical interest to the problem of pro-cyclicality.

This paper presents a comprehensive analysis of the nature and sources of pro-cyclicality effect, as well as a review of existing models for estimation of the probability of default. The result is example of probability of default model for russian corporate borrowers, which take into account procyclicity issue.

Presentation: Assessment of probability of default for russian corporates in conditions of cyclicality

3. Oleg Kozlov (bachelor,ICEF; master student, LSE) 'Comparative analysis and stress-testing of credit risks in retail and corporate segments of Russian credit market'

Abstract:The aim of the study is to provide a comprehensive comparison of credit risks in retail and corporate segments of Russian credit market including analysis of systematically important institutions and assessment of sensitivity to macroeconomic shocks. Banks’ monthly financial statements data for the period 2004 – 2012 are used. For the purpose of monitoring separate banks we propose an indicator of credit risk, which reflects average value and volatility of non-performing loans ratio and the value of loan loss reserves. To estimate the interconnection between financial and real sectors vector autoregression (VAR) is employed. Results of monitoring credit risk and return patterns of systemically important banks suggest that risks are higher in retail segment. Macroeconomic factors can explain 23% of variation in non-performing loans growth in corporate segment and 40% in retail. Increase in real GDP growth has a more prolonged effect on both volume and credit risk in retail segment.

Presentation: Comparative Analysis and Stress-Testing ..gments of Russian Credit Market

Session № 2013-35

May 15, 2013

Mikhail Mamonov (PhD student) "The influence of market power of Russian banks in their tendency to credit risk: results of a panel analysis"

Abstract: The article presents an empirical analysis of the impact of market power of Russian banks in their resistance to credit risk in the period 1Q 2004 - 2Q 2011. As indicators of market power individual concentration index in asset markets (structural measure) and the Lerner index (a measure of unstructured) are used. Banks' credit risks are approximated throught the share of overdue loans in total loans - indicator of the quality of loan portfolios in the RAS. The main result is that the increase in the market power of banks, especially large helps to improve the quality of their loan portfolios, as the intensive development of the credit market allows them to filter out low-quality borrowers. In this empirically identified threshold separating the negative and positive effects of competition in the resistance to credit risks. Because below this threshold in the current macroeconomic conditions are more than 90% of Russian banks, the conclusion of the validity of the concept of "competition-vulnerability".

Paper: The influence of market power of Russian banks in their tendency to credit risk: results of a panel analysis

Session № 2013-34

April 3, 2013

Zuzana Fungáčová (PhD, BOFIT - Bank of Finland Institute for Economies in Transition, Helsinki)
"Is bank competition detrimental to efficiency? Evidence from China"

Abstract: This paper addresses the relationship between bank competition and efficiency by computing Lerner indices and cost efficiency scores for a sample of Chinese banks over the period 2002-2011. Granger-causality tests are performed in a dynamic GMM panel estimator framework to evaluate the sign and direction of causality between them. We observe no increase in bank competition over the period, even as cost efficiency improves. In a departure from the empirical literature showing that competition negatively granger-causes cost efficiency for Western banks, we find no significant relation between competition and efficiency. This suggests that measures to increase bank competition in the Chinese context are not detrimental to efficiency.

Paper: http://www.suomenpankki.fi/bofit_en/tutkimus/tutkimusjulkaisut/dp/Pages/dp3112.aspx

Session № 2013-33

The Master's Theses Conference

March 30, 2013

Victoriya Bezzubova ‘The determinants of the payment flows of Large Value Payment Systems’
Ilya Ivanov ‘Credit Portfolio Management in Commercial Bank’
Inna Kalunts ‘Comparative efficiency analysis of credit and leasing operations: evidence from the Russian Small and Medium Entities’
Sergey Klaygin ‘Unbalanced Liquidity Management in Commercial Bank’
Irina Kolga ‘Specificity of insurance companies creditworthiness evaluation’
Alisa Smirnova ‘Assessing the Impact of Corporate Governance on the Bank's Effectiveness’
Saida Suleymanova ‘Efficiency of Microfinance in Russia’
Anastasia Cherepanova ‘Predicting the Probability of Bankruptcy of Borrowers on the Basis of the Logit Models’

Session № 2013-32

The Master's Theses Conference

March 23, 2013

Anastasia Avlasenko «The Comparative Analysis of Factors Influencing Credit Portfolio Quality»
Asaturov Suren «Comparative Analysis of Efficiency Factors of Russian Banks Before and After the Crisis»
Mikhail Bobnev «Influence of Banks with Foreign Participation on the Level of Competition of Russian Banking System»
Ekaterina Borisova «The Influence of Deposit Insurance Compensation Growth to the Risks Taken by Banks »
Vladimir Kadrev « Governance and Dividend Policy of Banks: Evidence from Russia»
Luchnenko Ekaterina «Definition of Main Factors Influencing a Merged Bank’s Performance»
Anastasia Frolova «Examination of Contagion Risk in the Russian Interbank Market»
Vladimir Khimochko «Russian Central Bank’s license withdrawals: An examination of different problem banks groups»

Session № 2013-31

March 20, 2013

1. Starkov O. (PhD, Central Economics and Mathematics Institute, RAS), Polterovich V. (Russian Academy of Sciences, PhD, Head. Lab. CEMI, Deputy. Director of the Moscow School of Economics, Moscow State University) "Project of the mass mortgages formation in Russia"

Abstract: The authors have developed a program of mass mortgage gradual formation in Russia. The program is based on the implementation of the algorithm of building savings banks within the housing savings bank accounts in conjunction with the construction of low cost housing for borrowers. It is shown that in a developing mortgage market slightly modified stroysberkass institute is preferable for most people, it maximizes efficiency of government subsidies and contributes to the further creation of a more efficient mortgage institutions. In 2011, in the Krasnodar region began working pilot mortgage system in a joint program of administration of Krasnodar region and Sberbank of Russia. This project involves the gradual spread of the Krasnodar experience to other regions of Russia, as well as the creation of a federal law on housing savings accounts in a universal bank and the creation of building savings banks as an independent specialized banking institution.

Paper: Project of the mass mortgages formation in Russia

2. Rumayncev E. (Bank of Russia) "Russian interbank networks: main characteristics and stability with respect to contagion"

Abstract: Systemic risks characterizing the Russian overnight interbank market from the networkpoint of view are analyzed.

Paper: Russian interbank networks: main characteristics and stability with respect to contagion

Session № 2013-30

February 13, 2013

1. Oleg Solntsev (PhD, Center for Macroeconomic Analisys anf Forecasting), Mikhail Mamonov (PhD student) "Assessment of systemic effects of tighter prudential regulation of the banking sector: the results of the stress test"

Abstract: This report examines the steps of the Bank of Russia, adopted in response to a problem situation, characterized by three "points of tension": a sign of new credit "overheating", a significant reduction in the capital adequacy of banks and the growing problem of affiliated banks. Using the methodology of stress testing authors can conclude their failure and low efficiency. In the article the proposals on the harmonization of prudential regulation are made. The emphasis placed are the development and implementation of programs for the development of new markets for the financial services provided by banks. This will boost the profitability of the banking sector without additional credit or market risks, which will increase the capitalization of the sector and eliminate the need for state support to banks in their capital.

Paper: Assessment of systemic effects of tighter prudential regulation of the banking sector: the results of the stress test

2. Mikhail Mamonov (PhD student), Anna Pestova (PhD student) «What was the deciding factor in the deterioration of quality of credit portfolios of Russian banks during the crisis: macroeconomic shocks or risky business strategy?»

Abstract: "What was the deciding factor in the deterioration of quality of credit portfolios of Russian banks during the crisis: macroeconomic shocks or risky business strategy?"

Abstract: As a result of the recent crisis, the Russian banking system experienced a significant deterioration in the quality of loan portfolios. The risk of de-capitalization of the banking system has led the government to take further steps to support the major banks. In 2008-2009 Vnesheconombank provided Russian credit institutions more than 400 billion rubles in the form of subordinated loans. Inevitably how the decision of the state capitalization of banks in terms of sources of implementation of banks credit risk was valid. If the main factor in the growth of bad loans was the deterioration of macroeconomic conditions, the measures of banking system supporting seem to be adequate. If the increase in credit risk was determined by micro-economic factors, i.e. excessively risky business strategies adopted in the pre-crisis period, held capitalization of "tune up" banks creates distorting incentives for other players in the future and may exacerbate the problem of moral hazard. The authors see their task to separate the influence of these two groups of factors on the growth of the share of bad debts of Russian banks in the crisis with econometric methods.

Paper: What was the deciding factor in the deterioration of quality of credit portfolios of Russian banks during the crisis: macroeconomic shocks or risky business strategy?

Session № 2012-29

December 12, 2012

Nikita Gomayun (bachelor student, HSE) "Estimate of the Effect of Derivatives Usage by Public European Banks on Its’ Value and Risk"

Abstract: In most cases the ultimate goal of a firm is profit maximization. Therefore, it is reasonable to assume that the firm’s value is linked to the nature of derivatives usage by the firm and the intensity of this activity. Thus, the objective of this study is to examine the relationship between the firms’ value for financial companies (primarily, banks) and the way they use derivatives. In this study financials of 130 European banks from different countries are examined from 2005 to 2010. The study is based on two sets of data: the first set contains the accounting data from balance sheets and the profit and loss accounts of banks in 2005-2010, while the second set contains the data from the notes to the financial statements disclosures, collected manually on each individual bank. The impact of derivatives usage on the banks’ value is assessed by means of the regression analysis with control variables that account for the time effect and cross-country differences. Two key results are that the firms efficiently using derivatives have higher value and the use of trading derivatives is positively associated with the growth of banks’ stock returns, and for hedging derivatives, on the contrary, negatively with Tobin’s q.

Paper: Estimate of the Effect of Derivatives Us..an Banks on Its’ Value and Risk

Session № 2012-28

November 21, 2012

1. Mikhail Stolbov (Doctor of Economics, Associate Professor, MGIMO) "International Credit Cycles: a Regional Perspective"

Abstract: I use credit/GDP ratio to construct stylized credit cycles at global and regional levels over 1980-2010. Their average duration is between 12 and 15 years and for all the regions there is “a ceiling” and “a floor” curbing the amplitude of credit cycles. They are also largely interconnected, with the US credit cycle being the most influential and autonomous at the same time. The relationship between credit cycles and intensity of banking crises is also discussed. It appears that the regions exerting predominant influence over their counterparts and having a higher number of total connections at the same time experience fewer banking crises.

Paper: International Credit Cycles: a Regional Perspective

2. Alexander Veysov (Master’s student, MGIMO), «Do financial systems converge? A comprehensive panel data approach and new evidence from a dataset for 102 countries»

Abstract: This paper is to investigate the existence of β- convergence and σ- convergence for financial institutional characteristics for the dataset of 102 countries from 1980 to 2009. The research is based on panel data econometric models and 10 financial depth indicators. The partial effects of corruption and financial openness are also to be estimated. The main conclusion is that the world exhibits steady financial development as well as β-convergence of financial depth indicators, the middle income countries converging relatively faster. Nevertheless the speed of convergence is not sufficient for the developing world to catch up quickly.

Paper: here.

Session № 2012-27

October 17, 2012

Andrey Petrov (Doctor of Technical Sciences, professor of MSMU) «Data systems for empirical studies of banking»

Abstract: The report describes the network model of the bank and the economy in general, describes the information flows in the economic activity of enterprises and banks. Shows what sources of information experts may use, and reports where you can find a variety of data describing the activity of the company. Data provided by RBC, Interfax, IC rating, RA Expert is compared by the author. It is shown that, in accordance with the objectives researchers create demand for information products. Describes in detail the system of "Banking and Finance", the structure provided information products and describes its users and provides examples of research carried out on the basis of the system. In addition, the report describes the ratings agencies on the basis of reports and insider information and the index of the banking system of Russia and experience of their publications over the last decade.

Paper: Data systems for empirical studies of banking

Session № 2012-26

September 26, 2012

1. Henry Penikas (HSE, Alfa-bank) «A multiplicative model of countercyclical capital buffer evaluation differentiated by homogeneous clusters of countries»

Abstract: 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 variable. Nevertheless, Repullo and Saurina (2011) have proven that the credit-to-GDP ratio is not as accurate at predicting the stage of economic cycle as the GDP growth rate. They proposed a theoretical framework for capital buffer calculations based on GDP growth rate dynamics. We extend the countercyclical capital buffer analysis in two directions. First, empirical criteria to implement Repullo and Saurina’s model are proposed and justified. Second, the countercyclical capital buffer parameter,, is then differentiated according to clusters of countries that display homogeneous patterns of macroeconomic variables dynamics. Lastly, the countercyclical capital buffers based on the Basel Committee’s approach and on the Repullo and Saurina model are then compared.

Paper: A multiplicative model of countercyclical capital buffer evaluation differentiated by homogeneous clusters of countries

Session № 2012-25

May 18, 2012

1. Elena Nenahova (Financial University under the Government of the Russian Federation, department of banks and banking management, postgraduate student) "Determination of Excessive Credit Expansion of Russian Commercial Banks"

Abstract: The research’s object is the credit expansion of commercial banks. The subject of this study is the determination of its excessive growth, in other words determination of the time when the credit expansion is beginning to have a negative impact on the economy. In this paper the author proposed an approach to the determination of excessive credit expansion and excessive credit expansion was identified by the example of Russia.

Paper: Determination of Excessive Credit Expansion of Russian Commercial Banks

2. Alexander Isakov (Bank of Russia, Department of Information and Analytical Support Operations Office of Operations Department of the domestic market operations in the financial markets) "Liquidity, interest rates and structure of money market"

Discussants: Henry I. Penikas, Anastasiya Frolova

Abstract: Today the Bank of Russia controls the liquidity of the interbank market in order to maintain the level of the indicative rates (RUONIA) within the interval, which is set lower deposit rate and the repo rate on fixed terms at the top. The main management tool is a repo auction and an important parameter - the volume of supply of funds. To assess the demand and supply of liquidity the Bank of Russia uses simple rules that were clear community, but additionally outlined in a recent repo forum. These rules imply the intuitively appealing relationship between the correspondent accounts and rates. This approach raises questions. One of the most critical - the lack of an inverse relationship between the correspondent accounts (the estimate of the money supply) and the interest rate (cost money). The decision as to assess the demand and supply is seen as taking into account the structure of the interbank market, in the broadest sense. Algorithm for estimating the demand for repo auction is offered on the basis of the article "Forecast of demand at the auction repos with the Bank of Russia" (Isakov, Money and Credit, 2012), the approach to evaluating the proposal outlines a direction for further research.

Paper: Liquidity, interest rates and structure of money market

Session № 2012-24

May 16, 2012

1. Varvara Kisileva (Master’s student, Banking Department, HSE) “Moral Risk in the Deposit Insurance Systems: Russian Experience”

2. Taras Murzenkov (Master’s student, Banking Department, HSE), Alexander Kostrov (BSc student, Banking Department, HSE) "Model Improving of Estimating Probability Default of the Russian Banks"

Session № 2012-23

The Master's Theses Conference

April 27, 2012

1. Tatyana Baulina “Measuring Performance of Different Types of Banks as Financial Intermediates in Russia”

2. Marina Duganova “The Impact of Foreign-Owned Banks on Russian Banking Sector”

3. Irina Marakhovskaya “Analysis of the Participation of Russian Commercial Banks in Non-traditional Activities”

4. Valeriya Chinchieva “Specific Features of Modeling Insurance Companies’ Ratings”

Session № 2012-22

The Master's Theses Conference

April 25, 2012

1. Oksana Jdanova "Analysis of the Diffusion of Innovations: the Adoption of Bank Cards In Russia"

2. Tatyana Kotok "The Research of Opportunities of Countercyclical Capital Buffers Management"

3. Nantaliya Kuzmina "Analysis of the Factors Effecting the Credit Portfolio Quality In the Russian Banking Sector"

4. Anastasia Myagkova "Comparison of Commercial Bank's Valuation Models"

5. Dmitriy Filatov "The Impact of Housing Mortgage Agencies Operations on the Level of Mortgage Rates"

Session № 2012-21

April 6, 2012

Prof. Dr. Pascal Gantenbein (University of Basel) “Equity Markets and the Performance of Hedge Funds: How Stable Is Persistence?”

Abstract: This paper investigates the performance of a sample of 4,788 hedge funds in bull and bear equity markets. Applying a six-factor regression model to measure the performance of hedge funds, it is evident that the explanatory power of the predictors is not constant over time, but each bull and bear market period has its dominant independent variables. Covering the period from January 1994 to December 2008, we find that the level of performance persistence is not significantly related to equity market conditions. Using contingency table test methodologies at an aggregate fund level, the analyses show that hedge fund performance persistence is higher in more recent sub-periods than in earlier sub-periods. In a bullish as well as in a bearish equity market, performance persistence is driven by both constant winners and losers. Moreover, we find that both live and dead funds exhibit statistically significant levels of performance persistence, but the persistence with dead funds is primarily driven by constant losers while with live funds driven by constant winners.

Paper: Equity Markets and the Performance of Hedge Funds

Session № 2012-20

April 3, 2012

1. Zuzana Fungáčová (BOFIT, Bank of Finland) "Liquidity creation by banks, how we can measure it and what do the numbers for Russia show us"

Abstract: We examine how the introduction of deposit insurance influences the relationship between bank capital and liquidity creation. As discussed by Berger and Bouwman (2009), there are two competing hypotheses on this relationship which can be influenced by the presence of deposit insurance. The introduction of a deposit insurance scheme in an emerging market, Russia, provides a natural experiment to investigate this issue. We study three alternative measures of bank liquidity creation and perform estimations on a large set of Russian banks. Our findings suggest that the introduction of the deposit insurance scheme exerts a limited impact on the relationship between bank capital and liquidity creation and does not change the negative sign of the relationship. The implication is that better capitalized banks tend to create less liquidity, which supports the “financial fragility/crowding-out” hypothesis. This conclusion has important policy implications for emerging countries as it suggests that bank capital requirements implemented to support financial stability may harm liquidity creation.

Paper: Liquidity creation by banks

2. Laurent Weill (University of Strasbourg) "Bank competition in the EU: How has it evolved?"

Abstract: Economic integration on the EU banking markets is expected to favor competition, which should provide economic gains. However, even if there is a commonly accepted view in favor of enhanced bank competition during the last decade, no study has been performed in the 2000s showing this trend. In this paper, the authors aim to fill this gap by measuring the evolution of bank competition in all EU countries during the 2000s. They estimate the Lerner index and the H-statistic for a sample of banks from all EU countries. The authors provide evidence of a general improvement in bank competition in the EU, even if cross-country differences are observed in the pattern of the evolution of bank competition. They check whether convergence in bank competition has taken place on the EU banking markets, by applying beta- and sigma- convergence tests for panel data. They show convergence in bank competition. These findings are also observed with standard competition measures (Herfindahl index, profitability indicators). They thus support the view that bank integration has taken place in the European Union.

Paper: Bank competition in the EU: How has it evolved?

Session 2012-19

March 21, 2012

Irina Andrievskaya (University of Verona, Italy and BOFIT, Finland) *"Measuring systemic liquidity risk in the Russian banking system"*

Abstract: The crisis of 2007-2009 has emphasized the importance of systemic risk measurement and regulation. The aim of this paper is to propose an approach to estimating systemic liquidity risk in a banking system and to detecting systemically important banks. The analysis is based on a surplus of highly liquid assets above due payments. Systemic liquidity risk can be expressed as the distance from the current level of the aggregate liquidity surplus to its critical value. The calculations are carried out using simulated empirical distribution of the aggregate liquidity surplus received by employing Independent Component Analysis. Systemic importance of banks is assessed according to their contribution to the variation of the system?s liquidity surplus, for which the covariance principle is employed. The methodology is applied to the Russian banking system. Results reveal the current level of systemic liquidity risk in the system and present the ranking of banks based on their systemic relevance.

Paper: Measuring systemic liquidity risk in the Russian banking system

Session 2012-18

February 22, 2012

Anastasia Stepanova "Financial Architecture and Bank Performance: Comparative analysis of emerging and developed markets"

Abstract: The aim of this article is to develop a model of bank performance based on integrated conception of corporate financial architecture in emerging and developed countries. The model was tested on the data of Russian, Khazah, Eastern and Western Europe banks anddemonstrated quite high quality. It was found that the drivers (such as net interest income growth, financial leverage, percentage of independent directors, ownership concentration, state ownership, etc) are quite similar for different strategic performance measures but different for emerging and developed countries.

Paper: Financial Architecture and Bank Performance: Comparative analysis of emerging and developed markets

Session 2011-17

December 21, 2011

Karminsky Alexandr (Doctor of Science, Professor, HSE) "The system of rating models of banks and IRB-approach"

Abstract: This paper discusses features of rating models with respect to ratings of the banking sector in the interests of IRB-approach, initiated by the Basel Accord. Systematized the principles and features of the formation were studied as models ratings for resident banks (based on Russian accounting) and for non-resident banks (based on reporting by international standards). Comparative studies of the leading international rating agencies are also represented. Comparisons are made to various regions and country groups to catch the dynamics of ratings in the time. A more detailed analysis is carried out in relation to Russia.

Paper: The system of rating models of banks and IRB-approach

Session 2011-16

December 14, 2011

1. Mikhail Stolbov (CandSc., Associate Professor, MGIMO) "Statistics of search queries in Google as an indicator of financial conditions"

Summary: The article deals with opportunities and limits of Google search queries statistics as an indicator of financial conditions. The methodological issues and empirical results of the use of such indicators in foreign countries are discussed. It is shown that this statistics should be incorporated in an econometric model of individuals' deposit growth in Russia. A composite indicator of financial situation allowing for shifts in financial expectations of individuals and entities is also proposed. It is proved that such measures may be good complements for traditional indicators to monitor financial conditions, which are based on the interview method.

Paper: Statistics of search queries in Google as an indicator of financial conditions

2. Kiselev Vadim (Postgraduate student, HSE Department of Banking) "Modeling Sovereign Ratings: Estimators, Models, Forecasting"

Summary: Current global economic instability has affected public finances of a wide range of countries, thehereby increasing the demand for modeling of the variables affecting sovereign ratings. This study presents these kinds of explanation for of Moody's sovereign ratings modeling. The models are estimated based on the ordered probit technique. The sample is based on data collected from 111 countries for the period 1991-2010. The study also contains a generalized classification explaining variables usually incorporated in sovereign ratings models in similar works. These variables include countries' macroeconomic, institutional factors and several types of group dummies. The predictive power of the models was estimated for different classes of sovereign ratings. The models were tested by in-the-sample/out-of-sample comparisons. Approved models were used to construct hypothetical Moody's sovereign ratings for countries without Moody's grades for testing the predictive accuracy of our models. Based on the results of testing the predictive accuracy of our statistical model, it appears that they are adequately accurate and could thus be used as proxy for actual ratings and applied to practical risk-management problems as well as for early-warning systems.

Paper: Modeling Sovereign Ratings: Estimators, Models, Forecasting

Session 2011-15

November 23, 2011

Valentin Usoskin (Doctor of social-economic sciences, Professor, HSE), Veronika Belousova (PhD., Associate Professor, Research Fellow, HSE) «The Evolution of Payment and Settlement Systems: Trade-Off between Liquidity and Risk»

Abstract: The Evolution of Payment and Settlement Systems: Trade-Off between Liquidity and Risk

Session 2011-14

October 19, 2011

1. Ekaterina Shefchenko (post-graduate student, HSE) «Evaluation of the total financial risk of the bank on the basis of stochastic modeling»

2. Oleg Shvyrkov (Ph.D, Tilburg University, Netherlands) «The corporate governance conundrum: suggestions for practice and research»

Paper: The corporate governance conundrum: suggestions for practice and research

Session 2011-13

September 21, 2011

1. Michael Mamonov (post-graduate student, HSE) «Competition in the Russian banking sector: Model construction and crisis impact analysis»

2. Anna Anisimova (MA, Banking Department, HSE) «Competition impact of market structure: The case of banking services markets in two Russian regions»

Session 2011-12

June 22, 2011

1. Anna Borscheva (post-graduate student, HSE) «Analysis of the impact of credit risk instruments on the quality of borrowers and dynamics of lending during crisis»

2. Sergei Golovan (NES) «Estimation methods for technical efficiency in Russian banking»

Session 2011-11

May 18, 2011

1. Maria Semenova (Cand.Sc., LIA HSE) «Market discipline in Russia: Evidence from depositor survey»

2. Dmitriy Kachalov (ICEF; Banking Departmen t, HSE) «Depositors’ reaction to the financial crisis»

Session 2011-10

April 8, 2011

1. Dr. Zuzana Fungáčová (BOFIT — Bank of Finland Institute for Economies in Transition, Helsinki) «Does competition influence bank failures?»

2. Dr. Zuzana Fungáčová ( BOFIT) «Bank capital, liquidity creation and deposit insurance»

Session 2011-9

March 16, 2011

Anatoly Peresetsky (Dr.Sc., HSE & NES), Vladimir Sosyurko and Alexander Vasilyuk (Banking Department, HSE) «Comparing rating scales of credit ratings assigned to Russian banks»

Session 2011-8

February 16, 2011

1. Ann a Borscheva (post-graduate student, HSE) «How efficient is credit risks assessment and management by Russian banks»

2. Anna Anisimova, Philip Muradyan and Maxim Murekhin ( Banking Department, HSE) «Estimating competition in the banking industry: Intensity of competition, market segmentation, and particularities of modeling a ‘banking firm’»

Session 2011/6

September 21, 2011

1. Michael Mamonov (HSE, PhD student) «Competition in the Russian banking sector: model construction and crisis impact analysis»

2. Anna Anisimova (MSc., Banking Department, HSE) «Competition impact of market structure: The case of banking services markets in two Russian regions»

Session 2011/5

June 22, 2011

1. Anna Borscheva (HSE) «Analysis of the impact of credit risk instruments on the quality of borrowers and dynamics of lending during crisis»

2. Sergei Golovan (NES) «Estimation methods for technical efficiency in Russian banking»

Session 2011/4

May 18, 2011

1. Maria Semenova (PhD, LIA HSE) «Market discipline in Russia: Evidence from depositor survey»

Paper: Market discipline in Russia: Evidence from depositor survey

2. Dmitriy Kachalov (ICEF; Banking Department, HSE) «Depositors’ reaction to the financial crisis»

Session 2011/3

April 8, 2011

1. Zuzana Fungáčová (PhD, BOFIT — Bank of Finland Institute for Economies in Transition) «Does competition influence bank failures?»

2. Zuzana Fungáčová (PhD, BOFIT — Bank of Finland Institute for Economies in Transition) «Bank capital, liquidity creation and deposit insurance»

Paper: Bank capital, liquidity creation and deposit insurance

Session 2011/2

March 16, 2011

Anatoly Peresetsky (PhD, Prof., HSE & NES), Vladimir Sosyurko (MSc.) and Alexander Vasilyuk (MSc) «Comparing rating scales of credit ratings assigned to Russian banks»

Session 2011/1

February 16, 2011

1. Anna Borscheva (PhD student, Banking Department HSE) «How efficient is credit risks assessment and management by Russian banks»

2. Anna Anisimova (Master’s student), Philip Muradyan (BSc student) and Maxim Murekhin (PhD student, Banking Department HSE) «Estimating competition in the banking industry: Intensity of competition, market segmentation, and particularities of modeling a ‘banking firm’»

Session 2010/7

December 15, 2010

Oleg Solntsev (PhD), Anna Pestova and Mikhail Mamonov (Center for Macroeconomic Analysis and Forecasting) «Substitution of cash money by bank money: Assessing the scope for monetary policy and technological progress in payment systems»

Session 2010/6

November 17, 2010

1. Vladimir Sosyurko and Alexander Vasilyuk (both – Banking Department HSE) «Models for credit ratings of Russian commercial banks: IFRS or Russian accounting standards?»

2. Vladimir Nazin (PhD student, CEMI RAS) «Changes in efficiency of Russian banks throughout the crisis»

3. Vassily Bokov (PhD student, Banking Dept. HSE) «How to assess more accurately the expected return on capital of Russian banks for empirical purposes»

Session 2010/5

October 20, 2010

1. Oleg Shvyrkov (PhD, Univ. of Tilburg) and Elena Pastukhova (both - Standard & Poor's) «Analysis of correlation of corporate governance ratings with performance indicators and market capitalization of companies in Russia and Kazakhstan in 2000-9»

2. Ekaterina Glushkova (PhD student, Banking Dept. HSE) «Are Russian state-controlled banks less efficient than domestic private banks?»

Session 2010/4

September 22, 2010

1. Veronika Belousova (Banking Dept. HSE) «Frontier approach to cost efficiency of Russian banks: Issues of methodology»

2. Pavel Razumovsky (PhD student, HSE) «Loan portfolio concentration and the amount of capital available to cover potential losses»

Session 2010/3

April 28, 2010

Master class by Dr. Dmitry Tulin (Deloitte) «Analyzing financial reports of Russian banks and establishing the economic substance of the recorded bank transactions»

Session 2010/2

April 14, 2010

Ivan Rozinsky (PhD, Institute of Industrial Studies, HSE) «Transnational banks and inter-country value-added chain»

Session 2010/1

February 15, 2010

1. Zuzana Fungáčová (PhD) and Laura Solanko (PhD, both - BOFIT — Bank of Finland Institute for Economies in Transition, Helsinki, Finland) «Market power in the Russian banking industry»

Paper: Market power in the Russian banking industry

2. Zuzana Fungáčová (PhD, BOFIT) «Determinants of bank interest margins in Russia: Does bank ownership matter?»

Paper: Determinants of bank interest margins in Russia: Does bank ownership matter?