Search Results

Premium for implicit deposit insurance within Russian state banks,
Henry Penikas, in Voprosy Ekonomiki (2021)

IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights,
Henry Penikas, in Risk Management (2023)
Keywords: Basel II, IRB, Correlated defaults, Asset correlation, Binomial distribution, Bernoulli trials, Macroprudential mark-ups

Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria,
Henry Penikas, in Risk Management (2023)
Keywords: Validation, IRB, Basel II, AUROC, CLAR, Loss shortfall, Brier skill score, Traffic light approach

Low Default Portfolios in Basel II and Basel III as a Special Case of Significantly Unbalanced Classes in Binary Choice Models,
Henry Penikas, in Russian Journal of Money and Finance (2020)
Keywords: Basel II, IRB, low default portfolio, LDP, probability of default, unbalanced classes, binary choice (response) model

Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022,
Henry Penikas, in Russian Journal of Money and Finance (2022)
Keywords: key rate, Russia, pass-through effect, Heckman model, copula, censored samples, inflation, inflation expectations, deposit, IRB approach

Review of Bank of Russia – NES Workshop 'Identification and Measurement of Macroprudential Policies Effects',
Henry Penikas, in Russian Journal of Money and Finance (2021)
Keywords: macroprudential policy, risk weights, capital adequacy ratio, transmission mechanism, LTV, LTI, difference in differences

Smoothing the Key Rate Pass-Through: What to Keep in Mind When Interpreting Econometric Estimates,
Henry Penikas, in Russian Journal of Money and Finance (2023)
Keywords: ECM, ARDL, IRPT, MPR, key rate, monetary policy, Russia, inflation targeting

The Interrelationship of Credit and Climate Risks,
Henry Penikas, from Bank of Russia (2022)
Keywords: green company, brown company, Sustainalytics, carbon dioxide emissions, Heckman.

Default correlation impact on the loan portfolio credit risk measurement for the "green" finance as an example,
Henry Penikas, from Bank of Russia (2023)
Keywords: default correlation, bimodal distribution, default rate; cliff effect, mixture of distribution

IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights,
Henry Penikas, from Bank of Russia (2020)
Keywords: Basel II, IRB, correlated defaults, asset correlation, binomial distribution, Bernoulli trials, macroprudential add-ons (mark-ups)

Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models,
Henry Penikas, from Bank of Russia (2022)
Keywords: validation, IRB, Basel II, AUROC, CLAR, Loss Shortfall, Brier skill score, traffic light approach

Registered author: Henry Penikas

Key rate pass-through to deposit rates: experience from the pandemic era,
Henry Penikas, from Edward Elgar Publishing (2022)
Keywords: Development Studies, Economics and Finance,

Modeling Integral Financial Stability Index: A Cross-Country Study,
Vadim Arzamasov and Henry Penikas, from National Research University Higher School of Economics (2014)
Keywords: financial stability, integral index, economic resilience, IMD, early warning system

How Well do Analysts Predict Stock Prices? Evidence from Russia,
Henry Penikas and Proskurin S., from National Research University Higher School of Economics (2013)
Keywords: financial analyst, forecast

Does banking regulation cause counterproductive economic dynamics?,
Henry Penikas and W. Selmier, from National Research University Higher School of Economics (2013)
Keywords: Basel Committee, Banking Regulation, Standard and Poor’s 500 Index, Granger Causality Test

Modeling Policy Response to Global Systemically Important Banks Regulation,
Henry Penikas and Yulia Titova, from National Research University Higher School of Economics (2012)
Keywords: Basel Committee on Banking Supervision, capital adequacy requirements, additional loss absorbency requirements, systemically important banks, game-theoretical approach

An empirical analysis of growth and consolidation in banking: a Markovian approach for the case of Russia,
Henry Penikas and Anastasia Petrova, in International Journal of Computational Economics and Econometrics (2014)
Keywords: Markov chains; modelling; banking consolidation; Russian banks; cluster analysis; transition matrix; Russia; banking growth; total assets; return on assets.

Interest Rate Risk Management Based on Copula-GARCH Models,
Henry Penikas and Varvara Simakova, in Applied Econometrics (2009)
Keywords: copula; EVEaR; interest rate risk; Russia; MosPrime; OFZ; yield curve

Researching and forecasting aggregated consumers’ perception of imported food: Russia and Brazil case studies (1992–2020),
Henry Penikas and Alina Savelyeva, in Applied Econometrics (2013)
Keywords: global food market; income elasticity of consumption; imported food; revealed comparative advantage; structural shifts

IRB PD model accuracy validation in the presence of default correlation: a twin confidence interval approach,
Dmitriy Borzykh and Henry Penikas, in Risk Management (2021)
Keywords: Binary choice models, Bernoulli random variables, Default correlation, Confidence interval, Basel III, IRB

Redefining the degree of industry greenness using input–output tables,
Henry Penikas and Ekaterina Vasilyeva, in International Review of Economics & Finance (2024)
Keywords: Sustainalytics; Climate risk; Input–output; Poisson regression; Aluminium; Australia; China; Negative emission goal;

Modelling Probability of Default of Russian Banks and Companies Using Copula Models,
Ilya Khankov and Henry Penikas, from University of Pavia, Department of Economics and Management (2015)

Do Hedging and Trading Derivatives Have the Same Impact on Public European Banks' Value and Share Performance?,
Nikita Gomayun, Henry Penikas and Yulia Titova, from National Research University Higher School of Economics (2012)
Keywords: derivative, bank, value, hedging, trading, time effect.

Copula structural shift identification,
Boris Brodsky, Henry Penikas and Irina Safaryan, from National Research University Higher School of Economics (2012)
Keywords: Copula, structural shift, Kolmogorov-Smirnov statistics, interest rates

A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries,
Fuad Aleskerov, Azamat Keskinbaev and Henry Penikas, from National Research University Higher School of Economics (2012)
Keywords: Basel III, capital buffer, minimum capital requirements, credit-to-GDP, pattern cluster analysis

The Decision-Making Process in Punishment Imposition: Four Factors of Public Perception in Russia,
Zinaida Pogosova, M Nizhnik and Henry Penikas, from National Research University Higher School of Economics (2015)
Keywords: public opinion, policy-making, penal policy, punishment theory, just deserts, deterrence, consequentialism, utilitarianism, ignorance of law defense, morality perception, probit.

Stress-testing and credit risk revisited: a shipping sector application,
Anna Merika, Ioannis Negkakis and Henry Penikas, in International Journal of Banking, Accounting and Finance (2021)
Keywords: default correlation; stress-testing; shipping industry; probability of default; internal ratings based; IRB.

QAIDS Model Based on Russian Pseudo - Panel Data: Impact of 1998 and 2008 Crises,
Maria D. Ermolova and Henry Penikas, from University Library of Munich, Germany (2016)
Keywords: QAIDS, RLMS, pseudo-panel, consumer behaviour, crisis

How Do Investors Prefer for Banks to Transition to Basel Internal Models: Mandatorily or Voluntarily?,
Henry Penikas, Anastasia Skarednova and Mikhail Surkov, in Quarterly Journal of Finance (QJF) (2023)
Keywords: Basel II, Basel III, BCBS, CAR, difference-in-differences, D-SIB, G-SIB, IRB, risk weight

Detection of Structural Breaks in Copula Models,
Boris Brodsky, Henry Penikas and Irina Safaryan, in Applied Econometrics (2009)
Keywords: Copula; structural break; Kolmogorov-Smirnov statistics; interest rates; MosPrime; LIBOR; EURIBOR

The impact of hedging and trading derivatives on value, performance and risk of European banks,
Yulia Titova, Henry Penikas and Nikita Gomayun, in Empirical Economics (2020)
Keywords: Derivatives, Bank, Value, Hedging, Trading, Panel data

Reform of capital adequacy regulation in the world Islamic banking market,
Henry Penikas and V. Y. Stefanenko, in Voprosy Ekonomiki (2024)

Measuring climate-credit risk relationship using world input-output tables,
Henry Penikas and Ekaterina E. Vasilyeva, in Russian Journal of Economics (2023)
Keywords: climate risk input-output tables WIOD Poisson regression ESG.

Probability of Default Model to Estimate Ex Ante Credit Risk,
Anna Burova, Henry Penikas and Svetlana Popova, in Russian Journal of Money and Finance (2021)
Keywords: ex ante probability of default, corporate credit, credit registry, probability of default model, credit quality groups, credit spreads

Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia,
Maiya Anokhina, Henry Penikas and Victor Petrov, from University of Pavia, Department of Economics and Management (2014)
Keywords: Systemic importance; Basel committee, probability of default, financial coefficients; models of ordered choice, models of binary choice, global systemically important banks (G-SIB), insurance company.

History of the World Largest Financial Losses in 1972-2018,
Henry Penikas and Mikhail A. Surkov, from University of Pavia, Department of Economics and Management (2018)
Keywords: Bankruptcy; bank default; failure; loss-to-assets; risk; market risk

Probability of Default (PD) Model to Estimate Ex Ante Credit Risk,
Anna Burova, Henry Penikas and Svetlana Popova, from Bank of Russia (2020)
Keywords: ex ante probability of default, corporate credit, credit registry, probability of default mode, credit quality groups, credit spreads

How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?,
Henry Penikas, Anastasia Skarednova and Mikhail Surkov, from Bank of Russia (2021)
Keywords: Basel II, Basel III, BCBS, CAR, difference-in-difference, D-SIB, G-SIB, IRB, risk-weight.

Determinants of the probability of default: the case of the internationally listed shipping corporations,
Agata Lozinskaia, Andreas Merikas, Anna Merika and Henry Penikas, in Maritime Policy & Management (2017)

Modeling Risk Patterns of Russian Systemically Important Financial Institutions,
Henry Penikas, Irina Andrievskayaa, Richard Connolly and Sergey Aivazian, in Review of Applied Socio-Economic Research (2011)
Keywords: Russia, systemically important banks, risk, copula, pattern

Macroprudential policy efficiency in Russia: Assessment for the uncollateralized consumer loans,
Irina Kozlovtceva, Henry Penikas, Ekaterina Petreneva and Yulia Ushakova, in Emerging Markets Review (2022)
Keywords: Macroprudential; Risk-weight; Basel III; Consumer lending;

The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks,
Andreas Merikas, Anna Merika, Henry Penikas and Mikhail A. Surkov, in The Journal of Economic Asymmetries (2020)
Keywords: Greece; Internal-rating-based approach; IRB; Risk-weight; Basel II;

Macroprudential Policy Efficiency: Assessment for the Uncollateralized Consumer Loans in Russia,
Irina Kozlovtceva, Henry Penikas, Ekaterina Petreneva and Yulia Ushakova, from Bank of Russia (2020)
Keywords: financial stability, risk-weight, consumer loan, macroprudential

Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation,
Maria Ermolova, Andrey Leonidov, Vladimir Nechitailo, Henry Penikas, Nikolay Pilnik and Ekaterina Serebryannikova, in Journal of Simulation (2021)

Review of the Bank of Russia - NES Workshop 'Transition to a Low-Carbon Economy: Costs and Risks for the Financial Sector',
Nadezhda Ivanova, Henry Penikas, Svetlana Popova, Andrey Sinyakov and Natalia Turdyeva, in Russian Journal of Money and Finance (2022)
Keywords: climate change, low-carbon economy, energy transition, structural shifts, green finance, credit risk, central bank policy

Theoretical model of macroprudential add-ons to risk-weights for foreign-currency denominated loans,
H. I. Penikas, in Voprosy Ekonomiki (2024)

Theory and Method in the Social Sciences. By Arnold M. Rose. (Minneapolis: The University of Minnesota Press. 1954. Pp. xii, 351. $5.00.),
Henry,, in American Political Science Review (1954)

Misinterpretation of the strategic significance of cost driver analysis: evidence from management accounting theory and practice,
Henry Palowski, in Economy of region (2011)
Keywords: cost driver, cost driver theory, higher education, management accounting

Un mot de présentation sur les aspects humains et sociaux de l'économie industrielle,
Henry Savall, in Revue d'Économie Industrielle (1979)

Construction et gestion de la qualité: une normalisation singulière,
Éric Henry, in Revue d'Économie Industrielle (1996)

Les politiques publiques d'intervention économique en Allemagne, au Royaume-Uni et en Italie,
Henry Savajol, in Revue d'Économie Financière (1995)

Taux de change et échanges agricoles,
R. Henry, in Économie rurale (1981)

Le processus de « counter-urbanisation » (Grande-Bretagne) et la « péri-urbanisation » (France): deux modèles de retour à la campagne,
Henry Buller, in Économie rurale (1991)

Les mesures agri-environnementales en Grande-Bretagne [Enjeu national, politique communautaire],
Henry Buller, in Économie rurale (1999)

Tableau des opérations financières,
Claude Henry, in Revue Économique (1955)

Proprietà e concorrenza nell'istruzione universitaria,
Henry Hansmann, in Mercato Concorrenza Regole (1999)

Incidence sur l'économie française d'une réduction durable de la main-d'œuvre immigrée,
Henry Bussery, in Économie et Statistique (1976)

Union Organizing Decisions in a Deteriorating Environment,
Henry Farber, in ILR Review (2015)
Keywords: NLRB elections; voter turnout; union organizing

Escala de produção em empresas de transporte por ônibus e experiência brasileira,
Étienne Henry, in RAE - Revista de Administração de Empresas (1997)

Calibrating rough volatility models: a convolutional neural network approach,
Henry Stone, from arXiv.org (2019)

Neglected Tropical Diseases: A Continuing Priority and a Lurking Threat,
Henry Benerman, in International Journal of Sciences (2017)

Bentham and Benthamism in Politics and Ethics,
Henry Sidgwick, in History of Economic Thought Articles (1877)

What is Money?,
Henry Sidgwick, in History of Economic Thought Articles (1879)

The Wages Fund Theory,
Henry Sidgwick, in History of Economic Thought Articles (1879)

Economic Socialism,
Henry Sidgwick, in History of Economic Thought Articles (1886)

Modern Proposals for the Physical Decentralization of Community,
Henry Winthrop, in Land Economics (1967)

Business Processes for Enhancing Coordination in Supply Networks,
Henry Xu, in International Journal of Information Systems and Supply Chain Management (IJISSCM) (2015)

Accounting and Marketing—Key Small Business Problems,
Henry Wichmann, in Entrepreneurship Theory and Practice (1983)

SocInfo - CTI Centre for Sociology, Politics and Social Policy,
Millsom Henry, in Sociological Research Online (1996)

Revisiting a Moral Panic: Ascetic Protestantism, Attitudes to Alcohol and the Implementation of the Licensing Act 2003,
Henry Yeomans, in Sociological Research Online (2009)
Keywords: Alcohol; Attitudes; Morality; Calvinism; Ascetic Protestantism; Licensing Act 2003; Temperance

AMERICAN TRADE DEFICITS OVERALL AND WITH CHINA: THE TWIN EFFECTS OF TECHNOLOGICAL REVOLUTION AND GLOBAL VALUE CHAINS,
Henry Wan, in China Economic Policy Review (CEPR) (2012)
Keywords: US-China trade, vehicle, currency, bilateral, deficit, fragment production supply chain, value-added share, foreign reserves

The effects of the 1925 Portuguese Bank Note Crisis,
Henry Wigan, from London School of Economics and Political Science, Department of Economic History (2004)

New policies create a new politics: issues of institutional design in climate change policy,
Henry Ergas, in Australian Journal of Agricultural and Resource Economics (2010)
Keywords: Environmental Economics and Policy, Public Economics

Book Reviews,
Henry Haszler, in Australian Journal of Agricultural and Resource Economics (2013)
Keywords: Livestock Production/Industries

Market Basket Changes,
Henry Badger, in Food Review/ National Food Review (1980)
Keywords: Marketing

Methods of Distinguishing Between the Shipmast and Common Forms of Black Locust on Long Island, N.Y,
Henry Hopp, from United States Department of Agriculture, Economic Research Service (1941)
Keywords: Environmental Economics and Policy

FARMER MAC: STATUS AND EMERGING ISSUES,
Henry Edelman, from Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition (1989)
Keywords: Agricultural Finance

Kräftige Zunahme der Huhnerbestände,
Henry Gocht, in German Journal of Agricultural Economics (1962)
Keywords: Livestock Production/Industries

Strukturwandel in der Geflügelwirtschaft macht Ausbau der Produktionsstatistik notwendig,
Henry Gocht, in German Journal of Agricultural Economics (1962)
Keywords: Livestock Production/Industries, Productivity Analysis

Gegenwartsprobleme auf den Märkten für Eier und Geflügelfleisch und Möglichkeiten zu ihrer Lösung,
Henry Gocht, in German Journal of Agricultural Economics (1967)
Keywords: Livestock Production/Industries

Agrarpolitik und mittelfristige Wirtschaftspolitik in der EWG,
Henry Gocht, in German Journal of Agricultural Economics (1968)
Keywords: Agricultural and Food Policy

Neue Preisreihen für Jungmasthühner und Suppenhühner,
Henry Gocht, in German Journal of Agricultural Economics (1963)
Keywords: Demand and Price Analysis, Livestock Production/Industries, Research Methods/ Statistical Methods

Zur Verminderung des Faktoreinsatzes in der Landwirtschaft der EWG,
Henry Gocht, in German Journal of Agricultural Economics (1972)
Keywords: Production Economics, Institutional and Behavioral Economics

INTEGRATING REGIONAL WATER AND POWER SYSTEMS,
Henry Jacoby, from Harvard University, Center for International Affairs (1967)
Keywords: Research and Development/Tech Change/Emerging Technologies, Resource /Energy Economics and Policy

Book Reviews,
Robert Henry, in Australian Journal of Agricultural and Resource Economics (2017)
Keywords: Agricultural and Food Policy, Teaching/Communication/Extension/Profession

Setting access prices: A critique of the ACCC’s approach in telecommunications,
Henry Ergas, in Agenda - A Journal of Policy Analysis and Reform (2008)

In Defence of Cost-Benefit Analysis,
Henry Ergas, in Agenda - A Journal of Policy Analysis and Reform (2009)

John A. Alic, Trillions For Military Technology: How The Pentagon Innovates And Why It Costs So Much (Palgrave Macmillan, 2007),
Henry Ergas, in Agenda - A Journal of Policy Analysis and Reform (2009)

Infrastructure Australia, A Report to the Council of Australian Governments,
Henry Ergas, in Agenda - A Journal of Policy Analysis and Reform (2009)