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An assessment of the largest Russian banks' impact on the growth of systemic risk of banking sector liquidity

Seryakova E.V. Moscow State Institute of International Relations (University) of Ministry of Foreign Affairs of Russian Federation, Moscow, Russian Federation ( ekaterinaseryakova@yandex.ru )

Journal: Financial Analytics: Science and Experience, #3, 2018

Importance This paper considers the concepts, stages and tools of macro-prudential regulation. As well, it assesses the contribution of the Top 10 Russian banks to systemic risk of liquidity.
Objectives The purpose of the paper is to develop an aggregate index of the largest banks' contribution to systemic liquidity risk.
Methods The research involves the methods of econometric and logical analyses.
Results I constructed an aggregate weighted index of the contribution of the Top 10 Russian banks to systemic risk of domestic banking sector liquidity. The work reveals the statistical significance of system importance factors for each bank.
Conclusions The developed index advances the RF industrial production and nominal GDP indicators. The increase of the largest banks' contribution to the systemic liquidity risk reduces the economic growth and industrial production rates.


Assessing the Russian Major Banks' Contribution to the Systemic Liquidity Risk Propagation in Banking

Seryakova E.V. Moscow State Institute of International Relations (University) of Ministry of Foreign Affairs of Russian Federation, Moscow, Russian Federation ( ekaterinaseryakova@yandex.ru )

Journal: Digest Finance, #4, 2018

Subject The 2007–2009 global financial crisis proved that the banking sector cannot evolve without concerted actions of the regulator. Systemically important institutions inter alia generate the systemic risk. The article discusses concepts, phases and tools of macroprudential regulation, evaluates how Russia's Top 10 banks influence the systemic liquidity risk.
Objectives The research develops the aggregate index of major banks' contribution to the systemic liquidity risk.
Methods The research involves the methods of econometric and logical analysis.
Results I built up the weighted aggregate index of Top 10 Russian banks' contribution to the systemic liquidity risk in the domestic banking sector. The article measures the statistical significance of systemic importance factors per each bank. Three group of banks are pointed out, which have certain systemic importance metrics of statistical significance.
Conclusions and Relevance The proposed index is forward looking by nature as compared with Russia's Industrial Production Index and nominal GDP. An increase in major banks' contribution to the systemic liquidity risk hinders an economic growth and IPI trends.


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