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Details about Henry Penikas

Workplace:Central Bank of the Russian Federation, (more information at EDIRC)

Access statistics for papers by Henry Penikas.

Last updated 2022-08-26. Update your information in the RePEc Author Service.

Short-id: ppe989


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Working Papers

2021

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

2020

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

2018

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

2016

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

2015

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

2014

  1. 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 Downloads
  2. Modeling Integral Financial Stability Index: A Cross-Country Study
    HSE Working papers, National Research University Higher School of Economics Downloads

2013

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

2012

  1. A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries
    HSE Working papers, National Research University Higher School of Economics Downloads
  2. An Optimal Incentive Contract Preventing Excessive Risk-Taking by a Bank Manager
    HSE Working papers, National Research University Higher School of Economics Downloads
  3. Copula structural shift identification
    HSE Working papers, National Research University Higher School of Economics Downloads
  4. 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 Downloads
  5. Modeling Policy Response to Global Systemically Important Banks Regulation
    HSE Working papers, National Research University Higher School of Economics Downloads

Journal Articles

2021

  1. IRB PD model accuracy validation in the presence of default correlation: a twin confidence interval approach
    Risk Management, 2021, 23, (4), 282-300 Downloads
  2. Probability of Default Model to Estimate Ex Ante Credit Risk
    Russian Journal of Money and Finance, 2021, 80, (3), 49–72 Downloads
    See also Working Paper (2020)
  3. 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 Downloads

2020

  1. History of the World Largest Credit Risk Losses in 1972–2018
    HSE Economic Journal, 2020, 24, (1), 9–27 Downloads
  2. 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 Downloads View citations (1)
  3. 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) Downloads View citations (4)
  4. The impact of hedging and trading derivatives on value, performance and risk of European banks
    Empirical Economics, 2020, 58, (2), 535-565 Downloads View citations (2)

2017

  1. Determinants of the probability of default: the case of the internationally listed shipping corporations
    Maritime Policy & Management, 2017, 44, (7), 837-858 Downloads View citations (3)

2014

  1. 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 Downloads View citations (2)
  2. Investment portfolio risk modelling based on hierarchical copulas
    Applied Econometrics, 2014, 35, (3), 18-38 Downloads View citations (1)

2013

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

2011

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

2010

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

2009

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

2008

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