Details about Henry Penikas

Access statistics for papers by Henry Penikas.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: ppe989

Working Papers

2023

1. Default correlation impact on the loan portfolio credit risk measurement for the "green" finance as an example
   Bank of Russia Working Paper Series, Bank of Russia

2022

2. Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models
   Bank of Russia Working Paper Series, Bank of Russia
3. The Interrelationship of Credit and Climate Risks
   Bank of Russia Working Paper Series, Bank of Russia

2021

4. How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?
   Bank of Russia Working Paper Series, Bank of Russia

2020

5. IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights
   Bank of Russia Working Paper Series, Bank of Russia
6. Macroprudential Policy Efficiency: Assessment for the Uncollateralized Consumer Loans in Russia
   Bank of Russia Working Paper Series, Bank of Russia
7. Probability of Default (PD) Model to Estimate Ex Ante Credit Risk
   Bank of Russia Working Paper Series, Bank of Russia
   See also Journal Article Probability of Default Model to Estimate Ex Ante Credit Risk, Russian Journal of Money and Finance, Bank of Russia (2021) (2021)

2018

8. History of the World Largest Financial Losses in 1972-2018
   DEM Working Papers Series, University of Pavia, Department of Economics and Management

2016

9. Copula-Based Univariate Time Series Structural Shift Identification Test
   Papers, arXiv.org
10. QAIDS Model Based on Russian Pseudo - Panel Data: Impact of 1998 and 2008 Crises
    MPRA Paper, University Library of Munich, Germany

2015

11. Modelling Probability of Default of Russian Banks and Companies Using Copula Models
    DEM Working Papers Series, University of Pavia, Department of Economics and Management View citations (2)
12. The Decision-Making Process in Punishment Imposition: Four Factors of Public Perception in Russia
    HSE Working papers, National Research University Higher School of Economics

2014

13. Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia
    DEM Working Papers Series, University of Pavia, Department of Economics and Management
14. Modeling Integral Financial Stability Index: A Cross-Country Study
    HSE Working papers, National Research University Higher School of Economics View citations (1)

2013

15. Does banking regulation cause counterproductive economic dynamics?
    HSE Working papers, National Research University Higher School of Economics
16. How Well do Analysts Predict Stock Prices? Evidence from Russia
    HSE Working papers, National Research University Higher School of Economics View citations (3)

2012

17. A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries
    HSE Working papers, National Research University Higher School of Economics
18. An Optimal Incentive Contract Preventing Excessive Risk-Taking by a Bank Manager
    HSE Working papers, National Research University Higher School of Economics
19. Copula structural shift identification
    HSE Working papers, National Research University Higher School of Economics
20. Do Hedging and Trading Derivatives Have the Same Impact on Public European Banks' Value and Share Performance?
    HSE Working papers, National Research University Higher School of Economics
21. Modeling Policy Response to Global Systemically Important Banks Regulation
    HSE Working papers, National Research University Higher School of Economics

Journal Articles

2024

1. Redefining the degree of industry greenness using input–output tables
   International Review of Economics & Finance, 2024, 89, (PA), 1073-1090
2. Reform of capital adequacy regulation in the world Islamic banking market
   Voprosy Ekonomiki, 2024, (8)

2023

3. How Do Investors Prefer for Banks to Transition to Basel Internal Models: Mandatorily or Voluntarily?
   Quarterly Journal of Finance (QJF), 2023, 13, (02), 1-24
4. IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights
   Risk Management, 2023, 25, (1), 1-27 View citations (2)
5. Measuring climate-credit risk relationship using world input-output tables
   Russian Journal of Economics, 2023, 9, (1), 93-108
6. Money multiplier under Basel capital ratio regulation: implications for counter-COVID-19 stimulus
   Journal of Sustainable Finance & Investment, 2023, 13, (1), 431-449
7. Retail loan pricing determinants in Russia
   Voprosy Ekonomiki, 2023, (6)
8. Smoothing the Key Rate Pass-Through: What to Keep in Mind When Interpreting Econometric Estimates
   Russian Journal of Money and Finance, 2023, 82, (3), 3-34
9. Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria
   Risk Management, 2023, 25, (4), 1-25

2022

10. Macroprudential policy efficiency in Russia: Assessment for the uncollateralized consumer loans
    Emerging Markets Review, 2022, 52, (C) View citations (1)
11. Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022
    Russian Journal of Money and Finance, 2022, 81, (2), 20-48 View citations (2)
12. Review of the Bank of Russia - NES Workshop 'Transition to a Low-Carbon Economy: Costs and Risks for the Financial Sector'
    Russian Journal of Money and Finance, 2022, 81, (3), 89-106 View citations (1)

2021

13. Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation
    Journal of Simulation, 2021, 15, (1-2), 82-92
14. IRB PD model accuracy validation in the presence of default correlation: a twin confidence interval approach
    Risk Management, 2021, 23, (4), 282-300
15. Premium for implicit deposit insurance within Russian state banks
    Voprosy Ekonomiki, 2021, (10) View citations (1)
16. Probability of Default Model to Estimate Ex Ante Credit Risk
    Russian Journal of Money and Finance, 2021, 80, (3), 49-72
    See also Working Paper Probability of Default (PD) Model to Estimate Ex Ante Credit Risk, Bank of Russia Working Paper Series (2020) (2020)
17. Review of Bank of Russia – NES Workshop 'Identification and Measurement of Macroprudential Policies Effects'
    Russian Journal of Money and Finance, 2021, 80, (3), 94-104 View citations (1)
18. Stress-testing and credit risk revisited: a shipping sector application
    International Journal of Banking, Accounting and Finance, 2021, 12, (4), 347-367 View citations (2)

2020

19. History of the World Largest Credit Risk Losses in 1972–2018
    HSE Economic Journal, 2020, 24, (1), 9–27
20. Low Default Portfolios in Basel II and Basel III as a Special Case of Significantly Unbalanced Classes in Binary Choice Models
    Russian Journal of Money and Finance, 2020, 79, (2), 101-128 View citations (3)
21. The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks
    The Journal of Economic Asymmetries, 2020, 22, (C) View citations (7)
22. The impact of hedging and trading derivatives on value, performance and risk of European banks
    Empirical Economics, 2020, 58, (2), 535-565 View citations (3)

2017

23. Determinants of the probability of default: the case of the internationally listed shipping corporations
    Maritime Policy & Management, 2017, 44, (7), 837-858 View citations (5)

2014

24. An empirical analysis of growth and consolidation in banking: a Markovian approach for the case of Russia
    International Journal of Computational Economics and Econometrics, 2014, 4, (1/2), 112-129 View citations (2)
25. Investment portfolio risk modelling based on hierarchical copulas
    Applied Econometrics, 2014, 35, (3), 18-38 View citations (1)

2013

26. Researching and forecasting aggregated consumers’ perception of imported food: Russia and Brazil case studies (1992–2020)
    Applied Econometrics, 2013, 32, (4), 45-70

2011

27. Copula-Based Price Risk Hedging Models
    Applied Econometrics, 2011, 22, (2), 3-21 View citations (3)
28. Modeling Risk Patterns of Russian Systemically Important Financial Institutions
    Review of Applied Socio-Economic Research, 2011, 1, (1), 70-80

2010

29. Copula-Models in Foreign Exchange Risk-Management of a Bank
    Applied Econometrics, 2010, 17, (1), 62-87 View citations (2)
30. Financial Applications of Copula-Models
    Journal of the New Economic Association, 2010, (7), 24-44 View citations (7)

2009

31. Detection of Structural Breaks in Copula Models
    Applied Econometrics, 2009, 16, (4), 3-15 View citations (5)
32. Interest Rate Risk Management Based on Copula-GARCH Models
    Applied Econometrics, 2009, 13, (1), 3-36 View citations (5)

2008

33. Forecasting for the Bank's Asset-Liability Management
    Applied Econometrics, 2008, 12, (4), 3-26 View citations (1)

Chapters

2022

1. Key rate pass-through to deposit rates: experience from the pandemic era
   Chapter 34 in Handbook of Banking and Finance in Emerging Markets, 2022, pp 634-650