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IRB asset and default correlation : rationale for the macroprudential mark-ups to the IRB risk-weights

Penikas, Henry - In: Risk management : an international journal 25 (2023) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10013490813

Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria

Penikas, Henry - In: Risk management : an international journal 25 (2023) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10014372840

Money multiplier under Basel capital ratio regulation : implications for counter-COVID-19 stimulus

Penikas, Henry - In: Journal of sustainable finance & investment 13 (2023) 1, pp. 431-449

Persistent link: https://www.econbiz.de/10013543409

An empirical analysis of growth and consolidation in banking: a Markovian approach for the case of Russia

Penikas, Henry; Petrova, Anastasia - In: International Journal of Computational Economics and … 4 (2014) 1/2, pp. 112-129

This paper represents an empirical research of the growth process in the Russian banking sector during 2004-2010 years. The growth process is modelled by Markov chains. Nine states were used to describe the growth process. Markov chain stationarity check revealed three homogeneous periods. The...

Persistent link: https://www.econbiz.de/10010760036

Determinants of the probability of default : the case of the internationally listed shipping corporations

Lozinskaia, Agata; Merikas, Andreas G.; Merika, Anna; … - In: Maritime policy and management : MPM 44 (2017) 7/8, pp. 837-858

Persistent link: https://www.econbiz.de/10011854748

Stress-testing and credit risk revisited : a shipping sector application

Merika, Anna; Negkakis, Ioannis; Penikas, Henry - In: International journal of banking, accounting and … 12 (2021) 4, pp. 347-367

Persistent link: https://www.econbiz.de/10012694425

The impact of hedging and trading derivatives on value, performance and risk of European banks

Titova, Yulia; Penikas, Henry; Gomayun, Nikita - In: Empirical economics : a journal of the Institute for … 58 (2020) 2, pp. 535-565

Persistent link: https://www.econbiz.de/10012219123

IRB PD model accuracy validation in the presence of default correlation : a twin confidence interval approach

Borzykh, Dmitriy; Penikas, Henry - In: Risk management : an international journal 23 (2021) 4, pp. 282-300

Persistent link: https://www.econbiz.de/10012792821

Macroprudential policy efficiency in Russia : assessment for the uncollateralized consumer loans

Kozlovtceva, Irina; Penikas, Henry; Petreneva, Ekaterina; … - In: Emerging markets review 52 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10013419070

Redefining the degree of industry greenness using input-output tables

Penikas, Henry; Vasilyeva, Ekaterina - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1073-1090

Persistent link: https://www.econbiz.de/10014446547