Access Statistics for Henry Penikas

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries 0 0 0 4 0 0 0 64
An Optimal Incentive Contract Preventing Excessive Risk-Taking by a Bank Manager 0 0 0 4 0 2 3 56
Copula structural shift identification 0 0 0 16 0 0 0 38
Copula-Based Univariate Time Series Structural Shift Identification Test 0 0 0 40 1 1 3 43
Default correlation impact on the loan portfolio credit risk measurement for the "green" finance as an example 0 1 9 9 0 2 14 16
Do Hedging and Trading Derivatives Have the Same Impact on Public European Banks' Value and Share Performance? 0 0 0 1 0 0 0 79
Does banking regulation cause counterproductive economic dynamics? 0 1 1 20 0 2 2 46
History of the World Largest Financial Losses in 1972-2018 0 0 1 12 0 0 2 72
How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily? 0 0 0 18 0 1 2 32
How Well do Analysts Predict Stock Prices? Evidence from Russia 0 0 0 24 0 0 1 44
IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights 0 0 6 52 4 7 28 168
Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia 1 1 1 106 1 3 4 259
Macroprudential Policy Efficiency: Assessment for the Uncollateralized Consumer Loans in Russia 0 0 0 19 0 0 3 32
Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models 0 0 3 10 3 4 15 29
Modeling Integral Financial Stability Index: A Cross-Country Study 0 0 0 20 2 2 2 100
Modeling Policy Response to Global Systemically Important Banks Regulation 0 0 0 6 0 0 0 72
Modelling Probability of Default of Russian Banks and Companies Using Copula Models 0 0 0 48 0 0 1 88
Probability of Default (PD) Model to Estimate Ex Ante Credit Risk 0 0 2 24 0 1 9 67
QAIDS Model Based on Russian Pseudo - Panel Data: Impact of 1998 and 2008 Crises 0 0 1 13 0 0 2 39
The Decision-Making Process in Punishment Imposition: Four Factors of Public Perception in Russia 0 0 0 18 2 5 5 34
The Interrelationship of Credit and Climate Risks 0 2 3 47 0 5 12 31
Total Working Papers 1 5 27 511 13 35 108 1,409

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation 1 4 8 11 4 9 15 22
An empirical analysis of growth and consolidation in banking: a Markovian approach for the case of Russia 0 0 0 10 0 1 1 41
Copula-Based Price Risk Hedging Models 0 0 1 146 0 0 2 365
Copula-Models in Foreign Exchange Risk-Management of a Bank 0 0 1 109 0 0 3 250
Detection of Structural Breaks in Copula Models 0 0 1 129 1 1 3 293
Determinants of the probability of default: the case of the internationally listed shipping corporations 0 0 0 12 0 0 0 47
Financial Applications of Copula-Models 0 0 2 142 0 1 6 337
Forecasting for the Bank's Asset-Liability Management 0 0 3 135 0 2 6 333
History of the World Largest Credit Risk Losses in 1972–2018 0 0 3 7 2 3 12 42
How Do Investors Prefer for Banks to Transition to Basel Internal Models: Mandatorily or Voluntarily? 0 0 2 2 0 0 3 7
IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights 0 0 4 7 0 1 7 17
IRB PD model accuracy validation in the presence of default correlation: a twin confidence interval approach 0 3 5 22 2 7 13 63
Interest Rate Risk Management Based on Copula-GARCH Models 0 0 1 166 0 1 6 375
Investment portfolio risk modelling based on hierarchical copulas 1 2 5 104 1 3 6 313
Low Default Portfolios in Basel II and Basel III as a Special Case of Significantly Unbalanced Classes in Binary Choice Models 0 0 0 24 0 0 3 97
Macroprudential policy efficiency in Russia: Assessment for the uncollateralized consumer loans 0 1 1 2 0 2 4 14
Measuring climate-credit risk relationship using world input-output tables 0 0 0 2 0 1 2 11
Modeling Risk Patterns of Russian Systemically Important Financial Institutions 0 0 1 37 0 1 2 193
Money multiplier under Basel capital ratio regulation: implications for counter-COVID-19 stimulus 0 0 1 2 0 0 4 7
Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022 0 0 0 7 0 1 4 32
Premium for implicit deposit insurance within Russian state banks 0 0 2 3 1 1 6 9
Probability of Default Model to Estimate Ex Ante Credit Risk 0 0 1 13 0 0 8 68
Redefining the degree of industry greenness using input–output tables 0 0 4 5 1 3 12 15
Reform of capital adequacy regulation in the world Islamic banking market 0 0 2 2 1 1 6 6
Researching and forecasting aggregated consumers’ perception of imported food: Russia and Brazil case studies (1992–2020) 0 0 2 50 0 0 2 197
Retail loan pricing determinants in Russia 0 0 1 3 1 1 2 7
Review of Bank of Russia – NES Workshop 'Identification and Measurement of Macroprudential Policies Effects' 0 0 0 2 0 0 2 23
Review of the Bank of Russia - NES Workshop 'Transition to a Low-Carbon Economy: Costs and Risks for the Financial Sector' 0 0 0 0 1 2 5 5
Smoothing the Key Rate Pass-Through: What to Keep in Mind When Interpreting Econometric Estimates 0 0 1 12 1 1 6 27
Stress-testing and credit risk revisited: a shipping sector application 0 0 0 17 1 1 2 29
The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks 0 0 3 34 0 1 5 146
The impact of hedging and trading derivatives on value, performance and risk of European banks 1 2 5 30 2 3 17 105
Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria 0 3 3 3 0 4 7 8
Total Journal Articles 3 15 63 1,250 19 52 182 3,504

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Key rate pass-through to deposit rates: experience from the pandemic era 0 0 2 4 0 0 3 8
Total Chapters 0 0 2 4 0 0 3 8

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Statistics updated 2025-03-03