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Mathematic methods of financial flow modeling in high education institute when budgeting the financial responsibility centers

Evstaf'ev K.A. Kaliningrad State Technical University, Kaliningrad, Russian Federation ( konst-evst@yandex.ru )

Journal: Finance and Credit, #25, 2014

The article points out that while reforming legal status and financial security, the public and municipal authorities face a problem of creation of the effective financial system allowing to predict dynamics of cash flows and to operate own liquidity. The paper presents a method of modeling of financial streams in the control system based on allocation of the centers of financial responsibility. The theory of automatic control is the basis for the model. The author concludes on possibility of use of the TAU methods with application of computer similar for the description of economic processes.


Modeling a consumer credit portfolio in Russia using the techniques of dynamic system investigation

Evstaf'ev K.A. Kaliningrad State Technical University, Kaliningrad, Russian Federation ( konstantin.evstafev@klgtu.ru )

Journal: Financial Analytics: Science and Experience, #12, 2017

Importance The article deals with the issues of research of significant change in the consumer credit market.
Objectives The goal of the paper is to develop a consumer credit market model able to evaluate the efficiency of the credit. Besides, the author aims at obtaining a medium-term forecast of changes in the retail loan portfolio structure.
Methods The study uses statistical methods. The parameters of consumer loans market in 2013 are calculated with the author's method of dynamic processes modeling, regression and correlation analysis of processed report data.
Results The work has obtained a dynamic model of the consumer credit market structure for the period July 2013 to April 2017. The author also presents a forecast of the structure of the retail loan portfolio for 2018 and 2019.
Conclusions and Relevance On the basis of the designed model, it is possible to draw conclusions and forecasts about the effectiveness of measures to regulate the full value of consumer loans and assess their impact on the market.


Methodological approaches to assessing the control efficiency of consumer loans' effective interest rate

Evstaf’ev K.A. Kaliningrad State Technical University, Kaliningrad, Russian Federation ( konstantin.evstafev@klgtu.ru )

Journal: Finance and Credit, #15, 2017

Importance The Russian consumer lending market has been rapidly growing since the middle of 2000 and is associated with high risks. These risks are typical of both the retail banks and individual borrowers, who inadequately assess loan terms. The market regulation started in 2008, when the concept of effective interest rate (full cost of loan) was introduced.
Objectives The purpose of the study is to evaluate the efficiency of regulation of effective interest rates on consumer loans through the analysis of changes in the retail banking market structure for 2013–2017.
Methods I apply methods of statistical analysis to review financial statements of banks in the open databases of the Bank of Russia. The parameters of the consumer lending market for 2013 are calculated under my own method, using the dynamic processes modeling and regression and correlation analysis.
Results I built a dynamic model of the consumer lending market structure from June 2013 to December 2016 in the context of effective interest rate range. The results were compared with the values of banks' revenues from retail lending. The paper includes the analysis of changes in retail banks’ capital adequacy as a result of toughening the requirements of the Bank of Russia to cover the risks of costly retail loans with equity.
Conclusions and Relevance The findings are indicative of highly efficient regulation of the effective interest rate on consumer loans and profound changes in the Russian retail banking market over the period under investigation.


Changes in the consumer credit market in conditions of tightening of the Bank of Russia's macroprudential measures in 2019

Evstaf'ev K.A. Kaliningrad State Technical University (KSTU), Kaliningrad, Russian Federation ( konstantin.evstafev@klgtu.ru )

Journal: Finance and Credit, #4, 2020

Subject. In 2019, the Bank of Russia updated and toughened regulatory approaches by increasing the capital requirements depending on borrowers’ debt burden. The disclosed bank statements have significantly changed and become more complicated. This enabled a comprehensive statistical analysis of the consumer credit market structure in 2019, based on effective interest rate and payment-to-income (PTI).
Objectives. The purpose of the study is to assess how the strengthened capital adequacy requirements influence the change in the effective interest rate on consumer loans and how banks consider debt burden of borrowers when issuing such loans.
Methods. The study draws on methods of statistical analysis of reporting forms presented by credit organizations in open databases of the Bank of Russia. A dynamic model is used for analytical determination of average maturity of consumer loans based on their effective interest rate.
Results. I estimated trends in outstanding consumer loans in all ranges of their full cost (effective interest rate), analyzed the impact of the new requirements of the Bank of Russia with respect to risk cover on consumer loans by banks’ own funds on the capital adequacy of banks in the medium term.
Conclusions. In 2019, loans with low effective interest rate (less than 20%) demonstrated the lowest growth rates; the volume of consumer loans to borrowers with high debt burden did not reduce; only a small number of banks incurred risk to capital adequacy due to strengthened requirements. Thus, the Bank of Russia’s macroprudential measures for consumer lending regulation cannot be regarded as effective.


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