Importance The article addresses the currency and stock market volatility caused by market partic... more Importance The article addresses the currency and stock market volatility caused by market participants' perception of macroeconomic news that central banks across opened economy countries take into account when making decisions on changes in the monetary policy. Objectives The study aims to offer a quantitative approach to assessing a reaction of the currency and stock market to macroeconomic news publication. Methods The study employs descriptive statistics methods. Basic calculations rest on the Panel Vector Autoregression method. Results News about changes in interest rates, inflation and industrial production instantly trigger financial market volatility in all analyzed countries. I found volatility spillovers from currency to stock markets and vice versa. The aftermaths of the news-related shocks are absorbed by the market during 3–4 days. Conclusions and Relevance The modern monetary policy of central banks implies no immediate measures against inflation spikes, therefore, the reaction of markets to publication of price indices is quite slow as compared to official announcements about interest rate changes. Financial markets respond slowly to publication of important macroeconomic news if the latter can be predicted on the basis of leading indicators.
Subject The article deals with the issues of international portfolio investment in terms of a flu... more Subject The article deals with the issues of international portfolio investment in terms of a fluctuating market environment and shock changes in the economic policies of States. Objectives The article aims to propose a certain investment strategy that could minimize the investor's exposure to macroeconomic shock in the international stock market and assess the effectiveness of stock market indicators of market uncertainty in relation to portfolio investment. Methods To assess the risk of investment, I used the indices of stock market volatility and uncertainty in economic policy for each of the countries reviewed. Portfolio shares are determined by a global optimization method. Average expected shortfall minimization, risk exposure factor minimization, and the investor's expected quadratic utility function maximization are used as optimization criteria. To assess the cost-effectiveness of investment strategy, I used the mean-variance analysis. Results Equity investments, which are least susceptible to macroeconomic shocks, provide one percent of the annual portfolio income additionally in developed countries and up to six percent in the developing world. Conclusions The reduction in the impact of macroeconomic shocks through the optimization of the investment portfolio makes the highly risky stock markets available to risk averse investors. In times of economic recession, such a strategy does not lead to significant losses in the portfolio, which is an answer to the criticism of this approach by the followers of the Prospect Theory and Narrow Diversification Theory.
Keywords: volatility, economic policy, international portfolio investment, risk aversion
Importance Investment management on the international financial market necessitates a special app... more Importance Investment management on the international financial market necessitates a special approach to foreign currency hedging. The majority of international investors fully eliminate risk associated with their foreign-exchange holdings, seeking profits only from stock price differentials. In certain circumstances, a correlation between local currency exchange rate and local stock index may provide additional opportunities for profit generation. Objectives The aim of the study is to test the hypothesis that partial currency risk-taking may reduce the total portfolio risk and increase return on international investment. Methods I apply the global optimization approach to calculate investment portfolios for 11 countries of the world. Each portfolio includes shares of 20–25 highly capitalized companies. Descriptive statistic methods are used to check the input data, i.e. random variable calculation, pivot tables. Investment strategy efficiency is assessed based on the Sharpe Ratio, Sortino Ratio, Treynor Ratio and Omega Ratio. Results Currency hedge position at the rate of about 14 percent of the total portfolio value may increase investment yield by two percentage points annually on the ten-year time span. Conclusions and Relevance Total currency risk hedge is necessary for investment in developed and developing countries that pursue the policy of regular devaluation of their national currency. Market regulators inside a particular country should take into account that a sudden devaluation of national currency may be needed, if return on the stock market is lower than that of risk-free instruments.
Subject The article addresses the currency and stock market volatility caused by market participa... more Subject The article addresses the currency and stock market volatility caused by market participants' perception of macroeconomic news that central banks across opened economy countries take into account when making decisions on changes in the monetary policy. Objectives The study aims to offer a quantitative approach to assessing the reaction of the currency and stock market to macroeconomic news publication. Methods The study employs descriptive statistics methods. Basic calculations rest on the Panel Vector Autoregression method. Results News about changes in interest rates, inflation and industrial production instantly trigger financial market volatility in all analyzed countries. I found volatility spillovers from currency to stock markets and vice versa. The aftermaths of the news-related shocks are absorbed by the market during 3–4 days. Conclusions and Relevance The modern monetary policy of central banks implies no immediate measures against inflation spikes, therefore, the reaction of markets to publication of price indices is quite slow as compared to official announcements about interest rate changes. Financial markets respond slowly to publication of important macroeconomic news if the latter can be predicted on the basis of leading indicators.
Importance Researching the market predictability enables to compare profits of
speculative tradin... more Importance Researching the market predictability enables to compare profits of speculative trading and return on alternative investment and estimate the imbalance in the financial system. Objectives The purpose of the study is to offer an approach to quantify the level of predictability of the Russian foreign exchange market. Methods Preliminary analysis of data rests on descriptive statistical methods. To describe the influence of rare events on foreign exchange rate, I apply the case study method. Trading strategies for the Russian FX market are developed based on generalized autoregressive conditional heteroskedasticity (GARCH) models. Results The Russian currency market is predictable mostly during crisis periods. The market predictability was the lowest in the period of high and growing oil prices, and has tended to increase over ten recent years. Conclusions and Relevance Mega-regulator can decrease the predictability of the Russian currency market and prevent speculation on market volatility by reducing the number of rare events that cause sharp one-off changes in currency quotations.
Importance The article addresses criminal activity in the banking sector. The topic is gaining po... more Importance The article addresses criminal activity in the banking sector. The topic is gaining popularity against the backdrop of fines imposed recently on the largest international banks for numerous violations of financial and banking laws, particularly, market manipulation for money laundering or capital expatriation. Objectives The study aims to examine the size of and reasons for bank fines imposed on international banks, analyze the relationship of criminal activities in the financial and banking sector, investigate current problems and shortcomings of financial and banking legislation enabling capital flight to offshore financial centers. Methods We employ descriptive statistics methods, i.e. box plots and pivot tables, to analyze data, and a case study method to find a solution to the problem of threats to the entire economic system from crimes committed by a large financial or banking institution. Results The paper assesses criminal activities in the banking sector, analyzes the efficiency of punitive measures, presents possibilities for future development and improvement of laws on anti-money laundering and combating the terrorist financing in the banking sector and securities market. Conclusions The analysis clarifies the practice of criminal activities in the banking sector through offshore zones, tax evasion, violation of fair trade principles on stock exchanges, and economic development destabilization. The paper may be of interest for supervising and regulatory authorities in the AML/CFT area.
Для поддержки инноваций на местном уровне, в России созданы особые экономические зоны и наукоград... more Для поддержки инноваций на местном уровне, в России созданы особые экономические зоны и наукограды РФ. Эффективность органов местного самоуправления при проведении политики государства в области инноваций в настоящей статье предлагается измерять с учетом состояния местного рынка недвижимости. Применение простых методов статистики к данным о сделках с недвижимостью показало, что придание территории инновационного статуса приводит к ускоренному росту цен на недвижимость на местном рынке. Ключевые слова: наукоград РФ, особая экономическая зона, рынок недвижимости, муниципальные образования.
Subject The article addresses the stock market bubbles forecasting. The subject is gaining popula... more Subject The article addresses the stock market bubbles forecasting. The subject is gaining popularity in view of recent economic crises caused by financial bubble busting. Objectives The objectives of the study are to devise models to predict the emergence and development of financial bubbles in the short term; to identify micro- and macroeconomic factors affecting the short-term changes in stock prices (stocks included in the Dow Jones Industrial index); and to assess the consistency of the models in question. Methods The study employs econometric techniques (mixed models) to analyze quarterly panel data on financial statements of companies in their relations with macroeconomic indicators. Results We developed four models, which may help analyze the stock market from the perspective of financial bubble presence. Conclusions and Relevance The proposed models clarify the relationship between the innovative activity of a company, overall condition of the economy and trends in the stock market. The paper may be of interest to individual traders and mutual fund managers for trading strategies development, risk hedging and portfolio diversification, as well as to financial market regulators.
The main aim of this article is to create methodology which allows to find out if Russian municip... more The main aim of this article is to create methodology which allows to find out if Russian municipal government use all their powers to stimulate innovative activity of the local enterprises. We use statistical data about territory development reported by several Russian municipalities which was granted the status of Science City (SC) by Federal Government or created Special Economic Zone (SEZ) on the part of their territory also by permission of the State. Our main interest is to find some relationship between performance of the local enterprises and different policies of the municipality. We use econometrics to create evidence that there are some connections between enterprise financial performance and local government policies of the Russian SC and SEZ. Tax incentives and construction of apartment houses are mostly attractive policies for innovative enterprises. Other local government duties such as culture development and so on are not important for enterprise`s performance. In consequence, we conclude that Russian municipalities don’t pay enough attention to other than economic stimulus policies that can explain poor performance of such development institutions in Russia as SC and SEZ.
Bank and rating agencies use widely credit scoring models to assess default probability of the en... more Bank and rating agencies use widely credit scoring models to assess default probability of the enterprises. In consequence, many borrowers can be interested to manipulate own financial statements in order to improve their credit rating, in particular to conform the requirements of the market dominating bank or rating agency. In this article we analyse credit scoring models of the two biggest state controlled Russian banks Sberbank and VTB. We use simple binary logistic regression model to assess the default probability of a company. We built logistic regression model which uses as independent variables company size (proxied by logarithm), profitability and turnover ratios. The results are statistically significant and passed all necessary statistical tests.
Жидкое биотопливо используется в настоящее время в двигателях внутреннего сгорания наряду с тради... more Жидкое биотопливо используется в настоящее время в двигателях внутреннего сгорания наряду с традиционными видами топлива, такими как бензин и газ. Применение экологически чистого топлива, изготовленного из возобновляемых источников энергии, дает социальные, экологические преимущества, а также увеличивает энергобезопасность государства.
В статье проанализированы тенденции использования альтернативных видов топлива в мире, проведено международное сравнение издержек производителей биоэтанола, рассчитана минимальная себестоимость этого продукта для Нижегородских сельских предприятий, экономически обосновано использование незадействованных пахотных угодий для производства сырья для биоэтанола и последующего экспорта конечного продукта, рассчитана потенциальная валютная выручка для предпринимателей Нижегородской области.
Ключевые слова: биоэтанол, жидкое биотопливо, производство зерна, эколого-ориентированные технологии, инновации, экспортный потенциал, зеленая экономика.
Liquid biofuel is currently used in gas engines along with traditional fuels, such as petrol and gas. There are social, economic advantages to employ ecologically clean fuel, produced from reusable energy sources.
The article offers trend analysis of alternative fuels consumption in the world, international comparison of bioetanol company’s costs, calculation of minimum bioethanol costs for enterprises situated in Nizhegorodskaya oblast. We prove economically that arable lands currently out of use may be put into raw material production for bioethanol with further final product export. We also calculate revenue in foreign currency of entrepreneurs in Nizhegorodskaya oblast.
In the article an approach to creation of regression models for short-term forecasting of macroec... more In the article an approach to creation of regression models for short-term forecasting of macroeconomic variables using search volumes statistics in Internet offered by Goolge company as its service GoogleTrends is suggested. As examples the net private capital flight forecasting model and unemployment forecasting model in Russian economy are created.
В статье рассматриваются валютные бинарные опционы, которые завоевали широкую популярность на меж... more В статье рассматриваются валютные бинарные опционы, которые завоевали широкую популярность на международных финансовых рынках, но малоизвестны в России. Приводится расчет стоимости валютных бинарных опционов двумя способами. Показаны налоговые и административные преимущества при применении банками. Даны предложения относительно построения спекулятивных стратегий на международном валютном рынке с использованием валютных бинарных опционов.
Ключевые слова. Валютные бинарные опционы, международный валютный рынок форекс.
Парадигма открытых инноваций предполагает, что современная компания должна использовать в своей д... more Парадигма открытых инноваций предполагает, что современная компания должна использовать в своей деятельности знания, полученные в других организациях и продавать собственные разработки другим участникам рынка. В статье предлагается экономико-математическая модель стратегического альянса университета (вуза) и предприятий, разработанная на основе парадигмы открытых инноваций и учитывающая последние изменения в российском законодательстве об образовании. В статье также исследованы условия, выполнение которых необходимо для заключения стратегического альянса, даны рекомендации по созданию и развитию стратегических альянсов вузов и предприятий.
Ключевые слова: открытые инновации, результаты интеллектуальной деятельности, стратегические альянсы предприятий, высшее учебное заведение, экономико-математические методы и модели.
Венчурные фонды с государственным участием являются эффективным средством стимулирования инноваци... more Венчурные фонды с государственным участием являются эффективным средством стимулирования инновационного развития экономики. В статье пред-лагается методика управления венчурным фондом, ко-торая позволяет прогнозировать стоимость активов венчурного фонда и оценивать эффект финансового рычага, предоставляемого государством, на доходность и риск частных инвесторов. Методика апробирована на примере российских инновационных компаний. Расчеты показали, что государству следует увеличивать вложения в венчурный фонд на этапе финансирования начинающих компаний и сокращать вложения в венчурный фонд при переходе к финансированию быстрорастущих компаний в целях предотвращения перегрева экономики и уменьшения рисков финансового кризиса.
Ключевые слова: венчурный капитал, венчурный фонд с государственным участием, линеаризующее преобразование Бокса-Кокса, имитационное моделирование Монте-Карло.
В статье рассматриваются методы оценки инновационных компаний, работающих на развивающихся рынках... more В статье рассматриваются методы оценки инновационных компаний, работающих на развивающихся рынках, и предлагается авторская модификация модели оценки капитальных активов, учитывающая сырьевую зависимость российской экономики.
По мнению большинства экспертов, в ближайшие 15—20 лет основным источником инноваций будут биотех... more По мнению большинства экспертов, в ближайшие 15—20 лет основным источником инноваций будут биотехнологии, нанотехнологии и информационные технологии. На сегодняшний день указанные направления наиболее привлекательны для инвестиций.
Летом этого года в России было принято решение о создании ОАО «Российская венчурная компания», ос... more Летом этого года в России было принято решение о создании ОАО «Российская венчурная компания», основной функцией которого станет размещение капитала в российские венчурные фонды. Неужели в нашей стране зарождается новая отрасль финансового сектора экономики — венчурные инвестиции? Мы провели анализ аналогичных государственных программ по стимулированию венчурного бизнеса, уже осуществленных в других странах, и прогнозируем оптимистический сценарий развития российской экономики. Вместе с тем для успешной реализации правительственной инициативы необходимо внесение ряда нововведений и усовершенствований в российское законодательство и деловую практику. Соответствующие предложения вынесены на обсуждение политикам, предпринимателям, венчурным капиталистам, а также всем интересующимся элитным видом бизнеса - венчурными инвестициями.
В странах с развитой рыночной экономикой разработаны многочисленные отраслевые рыночные индексы, ... more В странах с развитой рыночной экономикой разработаны многочисленные отраслевые рыночные индексы, на основе которых запущены в оборот фьючерсные и опционные контракты. Отраслевые рыночные индексы используются портфельными инвесторами для хеджирования рисков, а также венчурными капиталистами для определения момента вывода финансируемых инновационных компаний на биржу. Мы предлагаем индекс российских инновационных компаний, в который войдут биржевые котировки акций компаний, принадлежащих к секторам российской «новой» экономики. В первую очередь публикация этого индекса послужит сигналом о поддержке со стороны государства венчурного бизнеса. В перспективе на этот индекс предлагается запустить фьючерсные и опционные контракты, что предоставит российским портфельным инвесторам новые инструменты хеджирования.
Importance The article addresses the currency and stock market volatility caused by market partic... more Importance The article addresses the currency and stock market volatility caused by market participants' perception of macroeconomic news that central banks across opened economy countries take into account when making decisions on changes in the monetary policy. Objectives The study aims to offer a quantitative approach to assessing a reaction of the currency and stock market to macroeconomic news publication. Methods The study employs descriptive statistics methods. Basic calculations rest on the Panel Vector Autoregression method. Results News about changes in interest rates, inflation and industrial production instantly trigger financial market volatility in all analyzed countries. I found volatility spillovers from currency to stock markets and vice versa. The aftermaths of the news-related shocks are absorbed by the market during 3–4 days. Conclusions and Relevance The modern monetary policy of central banks implies no immediate measures against inflation spikes, therefore, the reaction of markets to publication of price indices is quite slow as compared to official announcements about interest rate changes. Financial markets respond slowly to publication of important macroeconomic news if the latter can be predicted on the basis of leading indicators.
Subject The article deals with the issues of international portfolio investment in terms of a flu... more Subject The article deals with the issues of international portfolio investment in terms of a fluctuating market environment and shock changes in the economic policies of States. Objectives The article aims to propose a certain investment strategy that could minimize the investor's exposure to macroeconomic shock in the international stock market and assess the effectiveness of stock market indicators of market uncertainty in relation to portfolio investment. Methods To assess the risk of investment, I used the indices of stock market volatility and uncertainty in economic policy for each of the countries reviewed. Portfolio shares are determined by a global optimization method. Average expected shortfall minimization, risk exposure factor minimization, and the investor's expected quadratic utility function maximization are used as optimization criteria. To assess the cost-effectiveness of investment strategy, I used the mean-variance analysis. Results Equity investments, which are least susceptible to macroeconomic shocks, provide one percent of the annual portfolio income additionally in developed countries and up to six percent in the developing world. Conclusions The reduction in the impact of macroeconomic shocks through the optimization of the investment portfolio makes the highly risky stock markets available to risk averse investors. In times of economic recession, such a strategy does not lead to significant losses in the portfolio, which is an answer to the criticism of this approach by the followers of the Prospect Theory and Narrow Diversification Theory.
Keywords: volatility, economic policy, international portfolio investment, risk aversion
Importance Investment management on the international financial market necessitates a special app... more Importance Investment management on the international financial market necessitates a special approach to foreign currency hedging. The majority of international investors fully eliminate risk associated with their foreign-exchange holdings, seeking profits only from stock price differentials. In certain circumstances, a correlation between local currency exchange rate and local stock index may provide additional opportunities for profit generation. Objectives The aim of the study is to test the hypothesis that partial currency risk-taking may reduce the total portfolio risk and increase return on international investment. Methods I apply the global optimization approach to calculate investment portfolios for 11 countries of the world. Each portfolio includes shares of 20–25 highly capitalized companies. Descriptive statistic methods are used to check the input data, i.e. random variable calculation, pivot tables. Investment strategy efficiency is assessed based on the Sharpe Ratio, Sortino Ratio, Treynor Ratio and Omega Ratio. Results Currency hedge position at the rate of about 14 percent of the total portfolio value may increase investment yield by two percentage points annually on the ten-year time span. Conclusions and Relevance Total currency risk hedge is necessary for investment in developed and developing countries that pursue the policy of regular devaluation of their national currency. Market regulators inside a particular country should take into account that a sudden devaluation of national currency may be needed, if return on the stock market is lower than that of risk-free instruments.
Subject The article addresses the currency and stock market volatility caused by market participa... more Subject The article addresses the currency and stock market volatility caused by market participants' perception of macroeconomic news that central banks across opened economy countries take into account when making decisions on changes in the monetary policy. Objectives The study aims to offer a quantitative approach to assessing the reaction of the currency and stock market to macroeconomic news publication. Methods The study employs descriptive statistics methods. Basic calculations rest on the Panel Vector Autoregression method. Results News about changes in interest rates, inflation and industrial production instantly trigger financial market volatility in all analyzed countries. I found volatility spillovers from currency to stock markets and vice versa. The aftermaths of the news-related shocks are absorbed by the market during 3–4 days. Conclusions and Relevance The modern monetary policy of central banks implies no immediate measures against inflation spikes, therefore, the reaction of markets to publication of price indices is quite slow as compared to official announcements about interest rate changes. Financial markets respond slowly to publication of important macroeconomic news if the latter can be predicted on the basis of leading indicators.
Importance Researching the market predictability enables to compare profits of
speculative tradin... more Importance Researching the market predictability enables to compare profits of speculative trading and return on alternative investment and estimate the imbalance in the financial system. Objectives The purpose of the study is to offer an approach to quantify the level of predictability of the Russian foreign exchange market. Methods Preliminary analysis of data rests on descriptive statistical methods. To describe the influence of rare events on foreign exchange rate, I apply the case study method. Trading strategies for the Russian FX market are developed based on generalized autoregressive conditional heteroskedasticity (GARCH) models. Results The Russian currency market is predictable mostly during crisis periods. The market predictability was the lowest in the period of high and growing oil prices, and has tended to increase over ten recent years. Conclusions and Relevance Mega-regulator can decrease the predictability of the Russian currency market and prevent speculation on market volatility by reducing the number of rare events that cause sharp one-off changes in currency quotations.
Importance The article addresses criminal activity in the banking sector. The topic is gaining po... more Importance The article addresses criminal activity in the banking sector. The topic is gaining popularity against the backdrop of fines imposed recently on the largest international banks for numerous violations of financial and banking laws, particularly, market manipulation for money laundering or capital expatriation. Objectives The study aims to examine the size of and reasons for bank fines imposed on international banks, analyze the relationship of criminal activities in the financial and banking sector, investigate current problems and shortcomings of financial and banking legislation enabling capital flight to offshore financial centers. Methods We employ descriptive statistics methods, i.e. box plots and pivot tables, to analyze data, and a case study method to find a solution to the problem of threats to the entire economic system from crimes committed by a large financial or banking institution. Results The paper assesses criminal activities in the banking sector, analyzes the efficiency of punitive measures, presents possibilities for future development and improvement of laws on anti-money laundering and combating the terrorist financing in the banking sector and securities market. Conclusions The analysis clarifies the practice of criminal activities in the banking sector through offshore zones, tax evasion, violation of fair trade principles on stock exchanges, and economic development destabilization. The paper may be of interest for supervising and regulatory authorities in the AML/CFT area.
Для поддержки инноваций на местном уровне, в России созданы особые экономические зоны и наукоград... more Для поддержки инноваций на местном уровне, в России созданы особые экономические зоны и наукограды РФ. Эффективность органов местного самоуправления при проведении политики государства в области инноваций в настоящей статье предлагается измерять с учетом состояния местного рынка недвижимости. Применение простых методов статистики к данным о сделках с недвижимостью показало, что придание территории инновационного статуса приводит к ускоренному росту цен на недвижимость на местном рынке. Ключевые слова: наукоград РФ, особая экономическая зона, рынок недвижимости, муниципальные образования.
Subject The article addresses the stock market bubbles forecasting. The subject is gaining popula... more Subject The article addresses the stock market bubbles forecasting. The subject is gaining popularity in view of recent economic crises caused by financial bubble busting. Objectives The objectives of the study are to devise models to predict the emergence and development of financial bubbles in the short term; to identify micro- and macroeconomic factors affecting the short-term changes in stock prices (stocks included in the Dow Jones Industrial index); and to assess the consistency of the models in question. Methods The study employs econometric techniques (mixed models) to analyze quarterly panel data on financial statements of companies in their relations with macroeconomic indicators. Results We developed four models, which may help analyze the stock market from the perspective of financial bubble presence. Conclusions and Relevance The proposed models clarify the relationship between the innovative activity of a company, overall condition of the economy and trends in the stock market. The paper may be of interest to individual traders and mutual fund managers for trading strategies development, risk hedging and portfolio diversification, as well as to financial market regulators.
The main aim of this article is to create methodology which allows to find out if Russian municip... more The main aim of this article is to create methodology which allows to find out if Russian municipal government use all their powers to stimulate innovative activity of the local enterprises. We use statistical data about territory development reported by several Russian municipalities which was granted the status of Science City (SC) by Federal Government or created Special Economic Zone (SEZ) on the part of their territory also by permission of the State. Our main interest is to find some relationship between performance of the local enterprises and different policies of the municipality. We use econometrics to create evidence that there are some connections between enterprise financial performance and local government policies of the Russian SC and SEZ. Tax incentives and construction of apartment houses are mostly attractive policies for innovative enterprises. Other local government duties such as culture development and so on are not important for enterprise`s performance. In consequence, we conclude that Russian municipalities don’t pay enough attention to other than economic stimulus policies that can explain poor performance of such development institutions in Russia as SC and SEZ.
Bank and rating agencies use widely credit scoring models to assess default probability of the en... more Bank and rating agencies use widely credit scoring models to assess default probability of the enterprises. In consequence, many borrowers can be interested to manipulate own financial statements in order to improve their credit rating, in particular to conform the requirements of the market dominating bank or rating agency. In this article we analyse credit scoring models of the two biggest state controlled Russian banks Sberbank and VTB. We use simple binary logistic regression model to assess the default probability of a company. We built logistic regression model which uses as independent variables company size (proxied by logarithm), profitability and turnover ratios. The results are statistically significant and passed all necessary statistical tests.
Жидкое биотопливо используется в настоящее время в двигателях внутреннего сгорания наряду с тради... more Жидкое биотопливо используется в настоящее время в двигателях внутреннего сгорания наряду с традиционными видами топлива, такими как бензин и газ. Применение экологически чистого топлива, изготовленного из возобновляемых источников энергии, дает социальные, экологические преимущества, а также увеличивает энергобезопасность государства.
В статье проанализированы тенденции использования альтернативных видов топлива в мире, проведено международное сравнение издержек производителей биоэтанола, рассчитана минимальная себестоимость этого продукта для Нижегородских сельских предприятий, экономически обосновано использование незадействованных пахотных угодий для производства сырья для биоэтанола и последующего экспорта конечного продукта, рассчитана потенциальная валютная выручка для предпринимателей Нижегородской области.
Ключевые слова: биоэтанол, жидкое биотопливо, производство зерна, эколого-ориентированные технологии, инновации, экспортный потенциал, зеленая экономика.
Liquid biofuel is currently used in gas engines along with traditional fuels, such as petrol and gas. There are social, economic advantages to employ ecologically clean fuel, produced from reusable energy sources.
The article offers trend analysis of alternative fuels consumption in the world, international comparison of bioetanol company’s costs, calculation of minimum bioethanol costs for enterprises situated in Nizhegorodskaya oblast. We prove economically that arable lands currently out of use may be put into raw material production for bioethanol with further final product export. We also calculate revenue in foreign currency of entrepreneurs in Nizhegorodskaya oblast.
In the article an approach to creation of regression models for short-term forecasting of macroec... more In the article an approach to creation of regression models for short-term forecasting of macroeconomic variables using search volumes statistics in Internet offered by Goolge company as its service GoogleTrends is suggested. As examples the net private capital flight forecasting model and unemployment forecasting model in Russian economy are created.
В статье рассматриваются валютные бинарные опционы, которые завоевали широкую популярность на меж... more В статье рассматриваются валютные бинарные опционы, которые завоевали широкую популярность на международных финансовых рынках, но малоизвестны в России. Приводится расчет стоимости валютных бинарных опционов двумя способами. Показаны налоговые и административные преимущества при применении банками. Даны предложения относительно построения спекулятивных стратегий на международном валютном рынке с использованием валютных бинарных опционов.
Ключевые слова. Валютные бинарные опционы, международный валютный рынок форекс.
Парадигма открытых инноваций предполагает, что современная компания должна использовать в своей д... more Парадигма открытых инноваций предполагает, что современная компания должна использовать в своей деятельности знания, полученные в других организациях и продавать собственные разработки другим участникам рынка. В статье предлагается экономико-математическая модель стратегического альянса университета (вуза) и предприятий, разработанная на основе парадигмы открытых инноваций и учитывающая последние изменения в российском законодательстве об образовании. В статье также исследованы условия, выполнение которых необходимо для заключения стратегического альянса, даны рекомендации по созданию и развитию стратегических альянсов вузов и предприятий.
Ключевые слова: открытые инновации, результаты интеллектуальной деятельности, стратегические альянсы предприятий, высшее учебное заведение, экономико-математические методы и модели.
Венчурные фонды с государственным участием являются эффективным средством стимулирования инноваци... more Венчурные фонды с государственным участием являются эффективным средством стимулирования инновационного развития экономики. В статье пред-лагается методика управления венчурным фондом, ко-торая позволяет прогнозировать стоимость активов венчурного фонда и оценивать эффект финансового рычага, предоставляемого государством, на доходность и риск частных инвесторов. Методика апробирована на примере российских инновационных компаний. Расчеты показали, что государству следует увеличивать вложения в венчурный фонд на этапе финансирования начинающих компаний и сокращать вложения в венчурный фонд при переходе к финансированию быстрорастущих компаний в целях предотвращения перегрева экономики и уменьшения рисков финансового кризиса.
Ключевые слова: венчурный капитал, венчурный фонд с государственным участием, линеаризующее преобразование Бокса-Кокса, имитационное моделирование Монте-Карло.
В статье рассматриваются методы оценки инновационных компаний, работающих на развивающихся рынках... more В статье рассматриваются методы оценки инновационных компаний, работающих на развивающихся рынках, и предлагается авторская модификация модели оценки капитальных активов, учитывающая сырьевую зависимость российской экономики.
По мнению большинства экспертов, в ближайшие 15—20 лет основным источником инноваций будут биотех... more По мнению большинства экспертов, в ближайшие 15—20 лет основным источником инноваций будут биотехнологии, нанотехнологии и информационные технологии. На сегодняшний день указанные направления наиболее привлекательны для инвестиций.
Летом этого года в России было принято решение о создании ОАО «Российская венчурная компания», ос... more Летом этого года в России было принято решение о создании ОАО «Российская венчурная компания», основной функцией которого станет размещение капитала в российские венчурные фонды. Неужели в нашей стране зарождается новая отрасль финансового сектора экономики — венчурные инвестиции? Мы провели анализ аналогичных государственных программ по стимулированию венчурного бизнеса, уже осуществленных в других странах, и прогнозируем оптимистический сценарий развития российской экономики. Вместе с тем для успешной реализации правительственной инициативы необходимо внесение ряда нововведений и усовершенствований в российское законодательство и деловую практику. Соответствующие предложения вынесены на обсуждение политикам, предпринимателям, венчурным капиталистам, а также всем интересующимся элитным видом бизнеса - венчурными инвестициями.
В странах с развитой рыночной экономикой разработаны многочисленные отраслевые рыночные индексы, ... more В странах с развитой рыночной экономикой разработаны многочисленные отраслевые рыночные индексы, на основе которых запущены в оборот фьючерсные и опционные контракты. Отраслевые рыночные индексы используются портфельными инвесторами для хеджирования рисков, а также венчурными капиталистами для определения момента вывода финансируемых инновационных компаний на биржу. Мы предлагаем индекс российских инновационных компаний, в который войдут биржевые котировки акций компаний, принадлежащих к секторам российской «новой» экономики. В первую очередь публикация этого индекса послужит сигналом о поддержке со стороны государства венчурного бизнеса. В перспективе на этот индекс предлагается запустить фьючерсные и опционные контракты, что предоставит российским портфельным инвесторам новые инструменты хеджирования.
This part includes general Forex definition, international monetary arrangements, Balance of Paym... more This part includes general Forex definition, international monetary arrangements, Balance of Payments and Forex financial instruments. Binomial options pricing model, including touch options, is considered.
Курс включает общее определение риска и неопределенности, исторические аспекты развития понятия р... more Курс включает общее определение риска и неопределенности, исторические аспекты развития понятия риска, общие подходы к оценке риска финансовых вложений (долговые инструменты и вложения в собственный капитал), подходы к определению Value at Risk, банковские риски. Отдельная тема посвящена биномиальной модели расчета стоимости европейских и американских опционов колл и пут, а также бинарных тач опционов (binary touch options).
Bank and rating agencies use widely credit scoring models to assess default probability of the en... more Bank and rating agencies use widely credit scoring models to assess default probability of the enterprises. In consequence, many borrowers can be interested to manipulate own financial statements in order to improve their credit rating. This problem is actual for the large banks, rating agencies and for regulators which have to use formal techniques of solvency assessment because of large samples of data. The problem can be even more difficult if there are only few large banks which dominate the banking market in the economy. In this case firms may tend to adjust their financial statements to conform to requirements of specific bank or rating agency. So, modern research in the field of default probability is aimed not so much at development of new financial coefficients how many at understanding existing credit scoring methods and its influence on the firm`s financial statements. Many research papers show that the aspiration to improve a credit rating can be one of motives of financial policy of the enterprise. In this article we analyse credit scoring models of the two biggest state controlled Russian banks Sberbank and VTB. They dominate Russian banking market and have large influence on the economy as a whole. We use simple binary logistic regression model to assess the default probability of a company. In the model we chose as a dependent variable the solvency of the enterprise in the next year (0 – financially safe enterprise, 1 – bankruptcy, the decision on liquidation of the company is made by the government body). As factors were used financial coefficients from the banks credit scoring models (six financial coefficients from each bank). In our research we analysed more than 100 widely known financial coefficients and found some of them very usefull in forecasting insolvency. We built other logistic regression model which uses as independent variables company size (proxied by logarithm), profitability and turnover ratios. The results are statistically significant and passed all necessary statistical tests. Our conclusions are confirmed also by other authors research results. The offered logistic regression model predicted 99% of solvency cases and about 30% of insolvency cases. Following the results of research it is recommended to regulators to show more discretion when checking bank credit portfolios, to avoid exclusively formalistic approaches based on regression models and to insist on increase of banks reserves on problem loans. Our research shows also that credit scoring models of big banks can be subject to bigger risk of manipulations than model of small banks.
Key words: probability of default, credit scoring, binary logistic regression, innovative companies, Russia.
Present manual explore general topics about international currency market Forex, currency hedging... more Present manual explore general topics about international currency market Forex, currency hedging financial instruments, international corporations management, direct and portfolio international investments, currency purchasing power parity, balance of payments, monetary policy under different currency regimes.
Second edition contains expanded review of the world monetary system history, additional materials regarding international monetary unions and offshore business.
The manual is in English language and addressed to international students who study the master program in management.
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Objectives The article aims to propose a certain investment strategy that could minimize the investor's exposure to macroeconomic shock in the international stock market and assess the effectiveness of stock market indicators of market uncertainty in relation to portfolio investment.
Methods To assess the risk of investment, I used the indices of stock market volatility and uncertainty in economic policy for each of the countries reviewed. Portfolio shares are determined by a global optimization method. Average expected shortfall minimization, risk exposure factor minimization, and the investor's expected quadratic utility function maximization are used as optimization criteria. To assess the cost-effectiveness of investment strategy, I used the mean-variance analysis.
Results Equity investments, which are least susceptible to macroeconomic shocks, provide one percent of the annual portfolio income additionally in developed countries and up to six percent in the developing world.
Conclusions The reduction in the impact of macroeconomic shocks through the optimization of the investment portfolio makes the highly risky stock markets available to risk averse investors. In times of economic recession, such a strategy does not lead to significant losses in the portfolio, which is an answer to the criticism of this approach by the followers of the Prospect Theory and Narrow Diversification Theory.
Keywords: volatility, economic policy, international portfolio investment, risk aversion
In certain circumstances, a correlation between local currency exchange rate and local stock index may provide additional opportunities for profit generation.
Objectives The aim of the study is to test the hypothesis that partial currency risk-taking may reduce the total portfolio risk and increase return on international investment.
Methods I apply the global optimization approach to calculate investment portfolios for 11 countries of the world. Each portfolio includes shares of 20–25 highly capitalized companies. Descriptive statistic methods are used to check the input data, i.e. random variable calculation, pivot tables. Investment strategy efficiency is assessed based on the Sharpe Ratio, Sortino Ratio, Treynor Ratio and Omega Ratio.
Results Currency hedge position at the rate of about 14 percent of the total portfolio value may increase investment yield by two percentage points annually on the ten-year time span.
Conclusions and Relevance Total currency risk hedge is necessary for investment in developed and developing countries that pursue the policy of regular devaluation of their national currency. Market regulators inside a particular country should take into account that a sudden devaluation of national currency may be needed, if return on the stock market is lower than that of risk-free instruments.
Objectives The study aims to offer a quantitative approach to assessing the reaction of the currency and stock market to macroeconomic news publication.
Methods The study employs descriptive statistics methods. Basic calculations rest on the Panel Vector Autoregression method.
Results News about changes in interest rates, inflation and industrial production instantly trigger financial market volatility in all analyzed countries. I found volatility spillovers from currency to stock markets and vice versa. The aftermaths of the news-related shocks are absorbed by the market during 3–4 days.
Conclusions and Relevance The modern monetary policy of central banks implies no
immediate measures against inflation spikes, therefore, the reaction of markets to
publication of price indices is quite slow as compared to official announcements about interest rate changes. Financial markets respond slowly to publication of important macroeconomic news if the latter can be predicted on the basis of leading indicators.
speculative trading and return on alternative investment and estimate the imbalance in the financial system.
Objectives The purpose of the study is to offer an approach to quantify the level of
predictability of the Russian foreign exchange market.
Methods Preliminary analysis of data rests on descriptive statistical methods. To describe the influence of rare events on foreign exchange rate, I apply the case study method.
Trading strategies for the Russian FX market are developed based on generalized
autoregressive conditional heteroskedasticity (GARCH) models.
Results The Russian currency market is predictable mostly during crisis periods. The
market predictability was the lowest in the period of high and growing oil prices, and has tended to increase over ten recent years.
Conclusions and Relevance Mega-regulator can decrease the predictability of the Russian currency market and prevent speculation on market volatility by reducing the number of rare events that cause sharp one-off changes in currency quotations.
Objectives The study aims to examine the size of and reasons for bank fines imposed on international banks, analyze the relationship of criminal activities in the financial and banking sector, investigate current problems and shortcomings of financial and banking legislation enabling capital flight to offshore financial centers.
Methods We employ descriptive statistics methods, i.e. box plots and pivot tables, to analyze data, and a case study method to find a solution to the problem of threats to the entire economic system from crimes committed by a large financial or banking institution.
Results The paper assesses criminal activities in the banking sector, analyzes the efficiency of punitive measures, presents possibilities for future development and improvement of laws on anti-money laundering and combating the terrorist financing in the banking sector and securities market.
Conclusions The analysis clarifies the practice of criminal activities in the banking sector through offshore zones, tax evasion, violation of fair trade principles on stock exchanges, and economic development destabilization. The paper may be of interest for supervising and regulatory authorities in the AML/CFT area.
government use all their powers to stimulate innovative activity of the local enterprises. We use
statistical data about territory development reported by several Russian municipalities which was
granted the status of Science City (SC) by Federal Government or created Special Economic Zone
(SEZ) on the part of their territory also by permission of the State. Our main interest is to find some
relationship between performance of the local enterprises and different policies of the municipality.
We use econometrics to create evidence that there are some connections between enterprise
financial performance and local government policies of the Russian SC and SEZ. Tax incentives
and construction of apartment houses are mostly attractive policies for innovative enterprises. Other
local government duties such as culture development and so on are not important for enterprise`s
performance. In consequence, we conclude that Russian municipalities don’t pay enough attention
to other than economic stimulus policies that can explain poor performance of such development
institutions in Russia as SC and SEZ.
In this article we analyse credit scoring models of the two biggest state controlled Russian banks Sberbank and VTB. We use simple binary logistic regression model to assess the default probability of a company. We built logistic regression model which uses as independent variables company size (proxied by logarithm), profitability and turnover ratios. The results are statistically significant and passed all necessary statistical tests.
В статье проанализированы тенденции использования альтернативных видов топлива в мире, проведено международное сравнение издержек производителей биоэтанола, рассчитана минимальная себестоимость этого продукта для Нижегородских сельских предприятий, экономически обосновано использование незадействованных пахотных угодий для производства сырья для биоэтанола и последующего экспорта конечного продукта, рассчитана потенциальная валютная выручка для предпринимателей Нижегородской области.
Ключевые слова: биоэтанол, жидкое биотопливо, производство зерна, эколого-ориентированные технологии, инновации, экспортный потенциал, зеленая экономика.
Liquid biofuel is currently used in gas engines along with traditional fuels, such as petrol and gas. There are social, economic advantages to employ ecologically clean fuel, produced from reusable energy sources.
The article offers trend analysis of alternative fuels consumption in the world, international comparison of bioetanol company’s costs, calculation of minimum bioethanol costs for enterprises situated in Nizhegorodskaya oblast. We prove economically that arable lands currently out of use may be put into raw material production for bioethanol with further final product export. We also calculate revenue in foreign currency of entrepreneurs in Nizhegorodskaya oblast.
Keywords: bioethanol, liquid fuel, corn production, ecologically oriented technologies, innovations, export potential, green economy.
Ключевые слова. Валютные бинарные опционы, международный валютный рынок форекс.
В статье предлагается экономико-математическая модель стратегического альянса университета (вуза) и предприятий, разработанная на основе парадигмы открытых инноваций и учитывающая последние изменения в российском законодательстве об образовании.
В статье также исследованы условия, выполнение которых необходимо для заключения стратегического альянса, даны рекомендации по созданию и развитию стратегических альянсов вузов и предприятий.
Ключевые слова: открытые инновации, результаты интеллектуальной деятельности, стратегические альянсы предприятий, высшее учебное заведение, экономико-математические методы и модели.
Ключевые слова: венчурный капитал, венчурный фонд с государственным участием, линеаризующее преобразование Бокса-Кокса, имитационное моделирование Монте-Карло.
Ключевые слова: венчурный капитал, сырьевая зависимость, экономика, оценка, инновации, компании, модель, активы.
Objectives The article aims to propose a certain investment strategy that could minimize the investor's exposure to macroeconomic shock in the international stock market and assess the effectiveness of stock market indicators of market uncertainty in relation to portfolio investment.
Methods To assess the risk of investment, I used the indices of stock market volatility and uncertainty in economic policy for each of the countries reviewed. Portfolio shares are determined by a global optimization method. Average expected shortfall minimization, risk exposure factor minimization, and the investor's expected quadratic utility function maximization are used as optimization criteria. To assess the cost-effectiveness of investment strategy, I used the mean-variance analysis.
Results Equity investments, which are least susceptible to macroeconomic shocks, provide one percent of the annual portfolio income additionally in developed countries and up to six percent in the developing world.
Conclusions The reduction in the impact of macroeconomic shocks through the optimization of the investment portfolio makes the highly risky stock markets available to risk averse investors. In times of economic recession, such a strategy does not lead to significant losses in the portfolio, which is an answer to the criticism of this approach by the followers of the Prospect Theory and Narrow Diversification Theory.
Keywords: volatility, economic policy, international portfolio investment, risk aversion
In certain circumstances, a correlation between local currency exchange rate and local stock index may provide additional opportunities for profit generation.
Objectives The aim of the study is to test the hypothesis that partial currency risk-taking may reduce the total portfolio risk and increase return on international investment.
Methods I apply the global optimization approach to calculate investment portfolios for 11 countries of the world. Each portfolio includes shares of 20–25 highly capitalized companies. Descriptive statistic methods are used to check the input data, i.e. random variable calculation, pivot tables. Investment strategy efficiency is assessed based on the Sharpe Ratio, Sortino Ratio, Treynor Ratio and Omega Ratio.
Results Currency hedge position at the rate of about 14 percent of the total portfolio value may increase investment yield by two percentage points annually on the ten-year time span.
Conclusions and Relevance Total currency risk hedge is necessary for investment in developed and developing countries that pursue the policy of regular devaluation of their national currency. Market regulators inside a particular country should take into account that a sudden devaluation of national currency may be needed, if return on the stock market is lower than that of risk-free instruments.
Objectives The study aims to offer a quantitative approach to assessing the reaction of the currency and stock market to macroeconomic news publication.
Methods The study employs descriptive statistics methods. Basic calculations rest on the Panel Vector Autoregression method.
Results News about changes in interest rates, inflation and industrial production instantly trigger financial market volatility in all analyzed countries. I found volatility spillovers from currency to stock markets and vice versa. The aftermaths of the news-related shocks are absorbed by the market during 3–4 days.
Conclusions and Relevance The modern monetary policy of central banks implies no
immediate measures against inflation spikes, therefore, the reaction of markets to
publication of price indices is quite slow as compared to official announcements about interest rate changes. Financial markets respond slowly to publication of important macroeconomic news if the latter can be predicted on the basis of leading indicators.
speculative trading and return on alternative investment and estimate the imbalance in the financial system.
Objectives The purpose of the study is to offer an approach to quantify the level of
predictability of the Russian foreign exchange market.
Methods Preliminary analysis of data rests on descriptive statistical methods. To describe the influence of rare events on foreign exchange rate, I apply the case study method.
Trading strategies for the Russian FX market are developed based on generalized
autoregressive conditional heteroskedasticity (GARCH) models.
Results The Russian currency market is predictable mostly during crisis periods. The
market predictability was the lowest in the period of high and growing oil prices, and has tended to increase over ten recent years.
Conclusions and Relevance Mega-regulator can decrease the predictability of the Russian currency market and prevent speculation on market volatility by reducing the number of rare events that cause sharp one-off changes in currency quotations.
Objectives The study aims to examine the size of and reasons for bank fines imposed on international banks, analyze the relationship of criminal activities in the financial and banking sector, investigate current problems and shortcomings of financial and banking legislation enabling capital flight to offshore financial centers.
Methods We employ descriptive statistics methods, i.e. box plots and pivot tables, to analyze data, and a case study method to find a solution to the problem of threats to the entire economic system from crimes committed by a large financial or banking institution.
Results The paper assesses criminal activities in the banking sector, analyzes the efficiency of punitive measures, presents possibilities for future development and improvement of laws on anti-money laundering and combating the terrorist financing in the banking sector and securities market.
Conclusions The analysis clarifies the practice of criminal activities in the banking sector through offshore zones, tax evasion, violation of fair trade principles on stock exchanges, and economic development destabilization. The paper may be of interest for supervising and regulatory authorities in the AML/CFT area.
government use all their powers to stimulate innovative activity of the local enterprises. We use
statistical data about territory development reported by several Russian municipalities which was
granted the status of Science City (SC) by Federal Government or created Special Economic Zone
(SEZ) on the part of their territory also by permission of the State. Our main interest is to find some
relationship between performance of the local enterprises and different policies of the municipality.
We use econometrics to create evidence that there are some connections between enterprise
financial performance and local government policies of the Russian SC and SEZ. Tax incentives
and construction of apartment houses are mostly attractive policies for innovative enterprises. Other
local government duties such as culture development and so on are not important for enterprise`s
performance. In consequence, we conclude that Russian municipalities don’t pay enough attention
to other than economic stimulus policies that can explain poor performance of such development
institutions in Russia as SC and SEZ.
In this article we analyse credit scoring models of the two biggest state controlled Russian banks Sberbank and VTB. We use simple binary logistic regression model to assess the default probability of a company. We built logistic regression model which uses as independent variables company size (proxied by logarithm), profitability and turnover ratios. The results are statistically significant and passed all necessary statistical tests.
В статье проанализированы тенденции использования альтернативных видов топлива в мире, проведено международное сравнение издержек производителей биоэтанола, рассчитана минимальная себестоимость этого продукта для Нижегородских сельских предприятий, экономически обосновано использование незадействованных пахотных угодий для производства сырья для биоэтанола и последующего экспорта конечного продукта, рассчитана потенциальная валютная выручка для предпринимателей Нижегородской области.
Ключевые слова: биоэтанол, жидкое биотопливо, производство зерна, эколого-ориентированные технологии, инновации, экспортный потенциал, зеленая экономика.
Liquid biofuel is currently used in gas engines along with traditional fuels, such as petrol and gas. There are social, economic advantages to employ ecologically clean fuel, produced from reusable energy sources.
The article offers trend analysis of alternative fuels consumption in the world, international comparison of bioetanol company’s costs, calculation of minimum bioethanol costs for enterprises situated in Nizhegorodskaya oblast. We prove economically that arable lands currently out of use may be put into raw material production for bioethanol with further final product export. We also calculate revenue in foreign currency of entrepreneurs in Nizhegorodskaya oblast.
Keywords: bioethanol, liquid fuel, corn production, ecologically oriented technologies, innovations, export potential, green economy.
Ключевые слова. Валютные бинарные опционы, международный валютный рынок форекс.
В статье предлагается экономико-математическая модель стратегического альянса университета (вуза) и предприятий, разработанная на основе парадигмы открытых инноваций и учитывающая последние изменения в российском законодательстве об образовании.
В статье также исследованы условия, выполнение которых необходимо для заключения стратегического альянса, даны рекомендации по созданию и развитию стратегических альянсов вузов и предприятий.
Ключевые слова: открытые инновации, результаты интеллектуальной деятельности, стратегические альянсы предприятий, высшее учебное заведение, экономико-математические методы и модели.
Ключевые слова: венчурный капитал, венчурный фонд с государственным участием, линеаризующее преобразование Бокса-Кокса, имитационное моделирование Монте-Карло.
Ключевые слова: венчурный капитал, сырьевая зависимость, экономика, оценка, инновации, компании, модель, активы.
In this article we analyse credit scoring models of the two biggest state controlled Russian banks Sberbank and VTB. They dominate Russian banking market and have large influence on the economy as a whole. We use simple binary logistic regression model to assess the default probability of a company. In the model we chose as a dependent variable the solvency of the enterprise in the next year (0 – financially safe enterprise, 1 – bankruptcy, the decision on liquidation of the company is made by the government body). As factors were used financial coefficients from the banks credit scoring models (six financial coefficients from each bank).
In our research we analysed more than 100 widely known financial coefficients and found some of them very usefull in forecasting insolvency. We built other logistic regression model which uses as independent variables company size (proxied by logarithm), profitability and turnover ratios. The results are statistically significant and passed all necessary statistical tests. Our conclusions are confirmed also by other authors research results. The offered logistic regression model predicted 99% of solvency cases and about 30% of insolvency cases.
Following the results of research it is recommended to regulators to show more discretion when checking bank credit portfolios, to avoid exclusively formalistic approaches based on regression models and to insist on increase of banks reserves on problem loans. Our research shows also that credit scoring models of big banks can be subject to bigger risk of manipulations than model of small banks.
Key words: probability of default, credit scoring, binary logistic regression, innovative companies, Russia.
Second edition contains expanded review of the world monetary system history, additional materials regarding international monetary unions and offshore business.
The manual is in English language and addressed to international students who study the master program in management.