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.
| 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. |
| Address | Moscow, Pokrovsky Boulevard, 11 | |
| Contacts | HSE, Department of Banking, Pokrovsky Boulevard, 11, buiding Ж, suite Ж-416. | |
| Coordinator |
Ms. Oksana Jdanova +7 (926) 605-65-25 oksana.jdanova@gmail.com |
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 Department, 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. Anna 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?
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