IDEAS home Printed from https://ideas.repec.org/a/scn/econom/y2019i3p144-153.html
   My bibliography  Save this article

Роль стандартизированного подхода к измерению кредитного риска контрагента (Базель III) в целях создания условий для экономического роста России // The Role of the Standardized Approach to Measuring the Counterparty Credit Risk Exposures (Basel III) in Order to Create Conditions for Russia’s Economic Growth

Author

Listed:
  • I. Shaker E.

    (Financial University, Moscow)

  • И. Шакер Е.

    (Финансовый университет, Москва)

Abstract

The subject of the researchis the Standardized Approach to measuring the Counterparty Credit Risk (SA-CCR) exposures according to the reform of the international standards of macroprudential regulation to ensure a breakthrough in the scientific, technological and socio-economic development of Russia. The purposeof the research was to assess the introduction and use of the post-crisis Basel III standard until 2021 to create financially sound credit and banking institutions as the main triggers of the system risk in order to maintain public confidence in the financial system and ensure sustainable economic growth. The paper examines the prospects for the implementation of the Basel III standard, taking into account the standardized approach to measuring the counterparty credit risk to meet the challenges of Russia’s entry into the top five world economies.Given the global financial market conditions, the economic growth is ensured by the economies of scale as well as by harmonization of structural macroprudential rules in different countries, which requires an international standardized approach to system risk management when macro-prudential policies are aimed at alleviating credit risks thereby having a positive impact on the economic growth.The effectiveness of the macro-prudential policy for banks is reduced when less regulated financial intermediaries increase the market share and openness allowing organizations and households to receive money from foreign financial sources.The paper concludesthat in shaping the country’s macro-prudential policies, it is necessary to assess the relative importance of each channel of manifestation and transformation of the system risk and its impact on the economic growth in the national economy. Предмет исследования — стандартизированный подход к измерению кредитного риска контрагента согласно рефор-ме международных стандартов макропруденциального регулирования SA-CCRдля обеспечения прорыва в научно-технологическом и социально-экономическом развитии России. Цель работы — оценка внедрения и использования посткризисного стандарта Базель III до 2021 г. для создания финансово устойчивых кредитно-банковских институтов как основных триггеров системного риска с целью поддержания доверия общества к финансовой системе и обеспе-чения устойчивого роста экономики.В статье рассматриваются перспективы внедрения стандарта Базель III с учетом стандартизованного подхода к изме-рению кредитного риска контрагента для решения задач вхождения России в число пяти крупнейших экономик мира.Экономический рост обеспечивается в условиях глобального финансового рынка благодаря эффекту масштаба и ко-ординации в разных странах структурных макропруденциальных правил, что требует международного стандартизи-рованного подхода к регулированию системных рисков, когда меры макропруденциальной политики направлены на ослабление роста кредитования, оказывая положительное влияние на экономический рост.Эффективность макропруденциальной политики для банков уменьшается, если менее регулируемые финансовые посредники увеличивают долю рынка и его открытость, позволяя организациям и домашним хозяйствам получать средства от иностранных финансовых источников.В статье делается вывод, что при определении направлений использования страновой макропруденциальной поли-тики должна оцениваться значимость каждого канала проявления и трансформации системного риска

Suggested Citation

  • I. Shaker E. & И. Шакер Е., 2019. "Роль стандартизированного подхода к измерению кредитного риска контрагента (Базель III) в целях создания условий для экономического роста России // The Role of the Standardized Approach to Measuring t," Экономика. Налоги. Право // Economics, taxes & law, ФГОБУ "Финансовый университет при Правительстве Российской Федерации" // Financial University under The Government of Russian Federation, vol. 12(3), pages 144-153.
  • Handle: RePEc:scn:econom:y:2019:i:3:p:144-153
    as

    Download full text from publisher

    File URL: https://economy.fa.ru/jour/article/viewFile/535/504.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Mr. Eugenio M Cerutti & Haonan Zhou, 2017. "The Global Banking Network in the Aftermath of the Crisis: Is There Evidence of De-globalization?," IMF Working Papers 2017/232, International Monetary Fund.
    2. Kevin L. Kliesen & Brian Levine & Christopher J. Waller, 2018. "Gauging the Evolution of Monetary Policy Communication Before and After the Financial Crisis," Economic Synopses, Federal Reserve Bank of St. Louis, issue 27, pages 1-2.
    3. Mr. Luis Ignacio Jácome & Ms. Srobona Mitra, 2015. "LTV and DTI Limits—Going Granular," IMF Working Papers 2015/154, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mr. Eugenio M Cerutti & Haonan Zhou, 2018. "Cross-border Banking and the Circumvention of Macroprudential and Capital Control Measures," IMF Working Papers 2018/217, International Monetary Fund.
    2. Jérôme Vandenbussche & Piyabha Kongsamut & Dilyana Dimova, 2018. "Macroprudential Policy Effectiveness: Lessons from Southeastern Europe," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(9), pages 60-102, May.
    3. Fendoğlu, Salih, 2017. "Credit cycles and capital flows: Effectiveness of the macroprudential policy framework in emerging market economies," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 110-128.
    4. Poghosyan, Tigran, 2020. "How effective is macroprudential policy? Evidence from lending restriction measures in EU countries," Journal of Housing Economics, Elsevier, vol. 49(C).
    5. Pasquale Filiani, 2022. "Macroprudential Debt-to-Income Ratio and Monetary Policy Rules," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 14(2), pages 161-198, June.
    6. Siranova, Maria & Tiruneh, Menbere Workie & Fisera, Boris, 2021. "Creating the illicit capital flows network in Europe – Do the net errors and omissions follow an economic pattern?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 955-973.
    7. Tarne, Ruben & Bezemer, Dirk & Theobald, Thomas, 2022. "The effect of borrower-specific loan-to-value policies on household debt, wealth inequality and consumption volatility: An agent-based analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    8. Lebastard, Laura, 2022. "Financial exposure and bank mergers: micro and macro evidence from the EU," Working Paper Series 2724, European Central Bank.
    9. Hodula, Martin & Melecký, Martin & Pfeifer, Lukáš & Szabo, Milan, 2023. "Cooling the mortgage loan market: The effect of borrower-based limits on new mortgage lending," Journal of International Money and Finance, Elsevier, vol. 132(C).
    10. Sorin-George Toma & Loredana Nicoleta Zainea & Dragoș Tohănean, 2019. "Global Banks: The Race for Supremacy in 2018," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 64-69, December.
    11. Zhong, Changbiao & Xie, Lijuan & Shi, Yu & Xu, Xiangyun, 2023. "Macro-prudential policy, its alignment with monetary policy and house price growth: A cross-country study," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 51-62.
    12. Cerutti, Eugenio & Casanova, Catherine & Pradhan, Swapan-Kumar, 2023. "Banking across borders: Are Chinese banks different?," Journal of Banking & Finance, Elsevier, vol. 154(C).
    13. Andrea Calef, 2020. "Systemic Banking Crises: The Relationship Between Concentration and Interbank Connections," University of East Anglia School of Economics Working Paper Series 2019-06, School of Economics, University of East Anglia, Norwich, UK..
    14. Cerutti, Eugenio & Hong, Gee Hee, 2021. "Substitution patterns in capital inflows: Evidence from disaggregated capital flow data," Journal of International Money and Finance, Elsevier, vol. 112(C).
    15. Mikhail Stolbov & Daniil Parfenov, 2023. "Credit risk linkages in the international banking network, 2000–2019," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-38, September.
    16. Pierre‐Richard Agénor & Timothy P. Jackson & Luiz A. Pereira da Silva, 2023. "Global banking, financial spillovers and macroprudential policy coordination," Economica, London School of Economics and Political Science, vol. 90(359), pages 1003-1040, July.
    17. Basto, R. & Gomes, S. & Lima, D., 2019. "Exploring the implications of different loan-to-value macroprudential policy designs," Journal of Policy Modeling, Elsevier, vol. 41(1), pages 66-83.
    18. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2022. "Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination," International Economics and Economic Policy, Springer, vol. 19(1), pages 79-127, February.
    19. McCauley, Robert N. & Bénétrix, Agustín S. & McGuire, Patrick M. & von Peter, Goetz, 2019. "Financial deglobalisation in banking?," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 116-131.
    20. Kinghan, Christina & McCarthy, Yvonne & O’Toole, Conor, 2022. "How do macroprudential loan-to-value restrictions impact first time home buyers? A quasi-experimental approach," Journal of Banking & Finance, Elsevier, vol. 138(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:scn:econom:y:2019:i:3:p:144-153. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Алексей Скалабан (email available below). General contact details of provider: http://economy.fa.ru .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.