Goal of the project: Elaboration and validation of credit and some other financial risks models, as well as the models of risk aggregation with the usage of econometric methods and machine learning.

In the course of realization, we plan:

Develop and train rating scoring and IRB-approach (PD, LGD, EAD) models for various-type credit portfolios

Elaborate stress-scenarios of macro-environment development and model their potential influence on commercial banks’ portfolios quality

Establish an external reporting data base of commercial banks and companies for holding a research of portfolios credit risks of Russian banking sector

Create a training simulator “Liquidity, ALM-risk and commercial bank management”, reflecting the process of bank’s cash flows management

Develop a stress-testing model and instrument for bank’s overall risks assessment on the basis of its financial model

The project is leaded by lecturers with a significant experience in risk-estimation modelling and development of IRM systems in the Bank of Russia, Sberbank RF, Gazprombank and Promsvyazbank. You will get a unique opportunity to work with the Big-4 professionals and major banks, which will ensure the use of the most advanced international experience and standards in the course of this toolkit creation.

Directly to the following theme adjoins a line of associated projects executed in collaboration with potential employers and characterized more specifically in the corresponding chapter.

Goal of the project – develop a concept, methods and models of commercial banks value and banking sector efficiency assessment and prediction involving a wide range of various factors. Quality of financial companies’ assets is a key factor in cost formation and in course of the target efficiency achievement. However, financial reports often hide their actual quality. In terms of the project we will elaborate methods for hidden risks of financial institutions’ asset portfolios identification and models for cost and efficiency assessment based on those risks. Also, versatile estimation instruments will be developed, which is supposed to enable a sustainable analysis of the following problems. Creation of an assessment process’s infrastructure on Information Repository platform is planned, as well as establishment of a web-source, meant for provision of financial community and other interested parties with corresponding results of the project.

We hope that our project will help users to answer the question: “What Russian financial institutions deserve our trust?”, - considering the fact that the assessment process is supposed to be held in conditions of zero correlation with the payment from an assessed company. You will get a unique opportunity to work with the Big-4 professionals and major banks, which will ensure the use of the most advanced international experience and standards in the course.

This direction’s projects are focused at systematization and comparative analysis of innovative decisions on the basis of financial technologies and digitalization.

Special models are designed, an assessment of potential impact (diffusion) of innovative products on related areas is held. Development of the relevant proposals. Analysis of efficiency and prospects of cryptocurrencies’ implication and utilization.

Preparation of the materials on the specific areas of financial innovations by the Bank of Russia’s request. Development of comparative analysis of up-to-date publications on the seminar’s theme. Preparation of course works and GQWs for both bachelors and masters, discussion of personal projects’ results is a significant part of activities in terms of the following project.

Key fields of study are:

1. Business-processes of banking innovations, including neo-banking. Financial institutions’ and banks’ functions evolution.
2. The impact of innovations in banking sphere on development of the corresponding products and services, competitiveness estimation.
3. Comparative analysis of strategies and performance of various banking clusters and ecosystems in foreign countries, including BRICS.
4. Assessment of the digitalization results in financial sector on the basis of business informatization.

Practice-oriented project is intended for students interested in modern methods of Data-Science meant for making practical tasks in the sphere of banking analysis. Our main goal – is to introduce an immense variety of methodologies for distant valuation of financial institutions’ effectiveness and stability, as well as giving students a terrific opportunity to participate in their improvement, and even elaborate new ones. Thereby, as part a part of the seminar the following tasks are performed:

• On the basis of well-established assessment methodologies, a continuous monitoring of efficiency and stability of financial institutions is carried out;
• Drawbacks and benefits of the following methodologies are examined in terms of market volatility;
• Based on mathematical modelling, statistical intercorrelation of efficiency and stability indicators with the nature quality features are analyzed, with macroeconomic indicators in particular;
• Evaluation of prediction possibilities for efficiency and stability in short and medium terms;
• Elaboration and test-implementation of new methodologies for efficiency and stability evaluation, with the usage of multicriterial estimation for contradictory criteria alignment in particular.

Also, as a part of the seminar students have an ability to take part in the process of analytical service development for the NRU HSE fellows. The service will give an ability to get source data in a convenient format and the figures of analytical ratios for conducting independent researches of financial sector.

Directly to the following theme adjoins a line of associated projects executed in collaboration with potential employers (including Deloitte, Gazprombank (JS), ARCO, Sperbank, DomRF) and characterized more specifically in the corresponding chapter:

1. Development of the methodology for efficiency and cost evaluation, based on the risks index;
2. Development of the methodology for financial institutions’ rating assignment (benchmarking) in the context of market economy’s needs;
3. Development of the methodology for efficiency and stability evaluation of insurance companies and NPF with the usage of analysis of various categories’ risks on the market;
4. Elaboration of the predictive model for the risks of technological (man-made) disaster occurrence in Russian Federation and their possible outcomes in regional terms.

As an example, you may have a look at the following project:

The project involves elaboration of simple but effective tools for risk estimation which can be used by small banks, financial institutions, holding companies, non-financial companies willing to form risk-management systems or assess their credit quality as a borrower or issuer of securities. The customer expects to receive a ready-made model in Excel format or a ready-made product in the form of a translated program code which allows to collect all necessary macroeconomic variables and internal indicators, estimate the level of actual risks based on them. Modeling platforms: STATA, R, Python, Gretl. You will work in collaboration with professionals from the “Big-4” and major banks, which will ensure the use of the most advanced international experience and standards in the course of this toolkit creation.

Financial crises form threats that need to be addressed proactively, including forecasting methods and the development of indicators and early warning systems.

Elaboration of the methodology for assessing systematic risk and developing macroprudential policy solutions is the heart of this approach. Research in this direction, meetings, seminars and conferences on systematic risks, participation of managers, undergraduates and graduate students, as well as specific problems solution in the interests of the Bank of Russia on macroprudential policy issues, represent the basis for the activities under this project.

The main areas of research in this project are:

1. Macroprudential policy: Instruments and intercorrelations with other economic policies (monetary and fiscal);
2. Systematic risk and financial stress: indicators, monitoring at macro- and micro-level in Russia and abroad;
3. Empirical research on systematic risk and financial contagion.

Projects in this area are focused on systematization and comparative analysis of innovative solutions based on financial technologies and digitalization.

Models are developed and the impact (diffusion) of innovative products on related areas is assessed. Development of proposals on innovations. Analysis of prospects and efficiency of implementation and utilization of cryptocurrencies.

Preparation of the materials on the specific areas of financial innovations by the Bank of Russia’s request. Development of comparative analysis of up-to-date publications on the seminar’s theme. Preparation of course works and GQWs for both bachelors and masters, discussion of personal projects’ results is a significant part of activities in terms of the following project.

Key directions of research on the project are:

1. Business-processes of banking innovations, including neo-banking. Financial institutions’ and banks’ functions evolution.
2. The impact of innovations in banking sphere on development of the corresponding products and services, competitiveness estimation.
3. Comparative analysis of strategies and performance of various banking clusters and ecosystems in foreign countries, including BRICS.
4. Assessment of the digitalization results in financial sector on the basis of business informatization.