IDEAS home Printed from https://ideas.repec.org/f/ppe989.html
   My authors  Follow this author

Henry Penikas

Personal Details

First Name:Henry
Middle Name:
Last Name:Penikas
Suffix:
RePEc Short-ID:ppe989
[This author has chosen not to make the email address public]

Affiliation

Central Bank of the Russian Federation

Moscow, Russia
https://cbr.ru/
RePEc:edi:cbrgvru (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Henry Penikas, 2022. "Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models," Bank of Russia Working Paper Series wps92, Bank of Russia.
  2. Henry Penikas, 2022. "The Interrelationship of Credit and Climate Risks," Bank of Russia Working Paper Series wps100, Bank of Russia.
  3. Henry Penikas & Anastasia Skarednova & Mikhail Surkov, 2021. "How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?," Bank of Russia Working Paper Series wps74, Bank of Russia.
  4. Irina Kozlovtceva & Henry Penikas & Ekaterina Petreneva & Yulia Ushakova, 2020. "Macroprudential Policy Efficiency: Assessment for the Uncollateralized Consumer Loans in Russia," Bank of Russia Working Paper Series wps62, Bank of Russia.
  5. Henry Penikas, 2020. "IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights," Bank of Russia Working Paper Series wps56, Bank of Russia.
  6. Anna Burova & Henry Penikas & Svetlana Popova, 2020. "Probability of Default (PD) Model to Estimate Ex Ante Credit Risk," Bank of Russia Working Paper Series wps66, Bank of Russia.
  7. Henry I. Penikas & Mikhail A. Surkov, 2018. "History of the World Largest Financial Losses in 1972-2018," DEM Working Papers Series 166, University of Pavia, Department of Economics and Management.
  8. Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
  9. Ermolova, Maria D. & Penikas, Henry I., 2016. "QAIDS Model Based on Russian Pseudo - Panel Data: Impact of 1998 and 2008 Crises," MPRA Paper 82876, University Library of Munich, Germany.
  10. Zinaida M. Pogosova & M Nizhnik & Henry Penikas, 2015. "The Decision-Making Process in Punishment Imposition: Four Factors of Public Perception in Russia," HSE Working papers WP BRP 56/LAW/2015, National Research University Higher School of Economics.
  11. Ilya Khankov & Henry Penikas, 2015. "Modelling Probability of Default of Russian Banks and Companies Using Copula Models," DEM Working Papers Series 113, University of Pavia, Department of Economics and Management.
  12. Maiya Anokhina & Henry Penikas & Victor Petrov, 2014. "Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia," DEM Working Papers Series 085, University of Pavia, Department of Economics and Management.
  13. Vadim Arzamasov & Henry Penikas, 2014. "Modeling Integral Financial Stability Index: A Cross-Country Study," HSE Working papers WP BRP 75/EC/2014, National Research University Higher School of Economics.
  14. Henry Penikas & Travis Selmier, 2013. "Does banking regulation cause counterproductive economic dynamics?," HSE Working papers WP BRP 15/FE/2013, National Research University Higher School of Economics.
  15. Henry Penikas & Proskurin S., 2013. "How Well do Analysts Predict Stock Prices? Evidence from Russia," HSE Working papers WP BRP 18/FE/2013, National Research University Higher School of Economics.
  16. Henry Penikas, 2012. "An Optimal Incentive Contract Preventing Excessive Risk-Taking by a Bank Manager," HSE Working papers WP BRP 03/FE/2012, National Research University Higher School of Economics.
  17. Boris Brodsky & Henry Penikas & Irina Safaryan, 2012. "Copula structural shift identification," HSE Working papers WP BRP 05/FE/2012, National Research University Higher School of Economics.
  18. Henry Penikas & Yulia Titova, 2012. "Modeling Policy Response to Global Systemically Important Banks Regulation," HSE Working papers WP BRP 02/FE/2012, National Research University Higher School of Economics.
  19. Fuad Aleskerov & Azamat Keskinbaev & Henry Penikas, 2012. "A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries," HSE Working papers WP BRP 04/FE/2012, National Research University Higher School of Economics.
  20. Nikita Gomayun & Henry Penikas & Yulia Titova, 2012. "Do Hedging and Trading Derivatives Have the Same Impact on Public European Banks' Value and Share Performance?," HSE Working papers WP BRP 09/FE/2012, National Research University Higher School of Economics.

Articles

  1. Henry Penikas & Anastasia Skarednova & Mikhail Surkov, 2023. "How Do Investors Prefer for Banks to Transition to Basel Internal Models: Mandatorily or Voluntarily?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-24, June.
  2. Henry Penikas, 2023. "IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-27, March.
  3. Henry I. Penikas & Ekaterina E. Vasilyeva, 2023. "Measuring climate-credit risk relationship using world input-output tables," Russian Journal of Economics, ARPHA Platform, vol. 9(1), pages 93-108, April.
  4. H. I. Penikas, 2023. "Retail loan pricing determinants in Russia," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 6.
  5. Henry Penikas, 2023. "Money multiplier under Basel capital ratio regulation: implications for counter-COVID-19 stimulus," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 13(1), pages 431-449, January.
  6. Kozlovtceva, Irina & Penikas, Henry & Petreneva, Ekaterina & Ushakova, Yulia, 2022. "Macroprudential policy efficiency in Russia: Assessment for the uncollateralized consumer loans," Emerging Markets Review, Elsevier, vol. 52(C).
  7. Henry Penikas, 2022. "Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022," Russian Journal of Money and Finance, Bank of Russia, vol. 81(2), pages 20-48, June.
  8. Anna Burova & Henry Penikas & Svetlana Popova, 2021. "Probability of Default Model to Estimate Ex Ante Credit Risk," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 49-72, September.
  9. Dmitriy Borzykh & Henry Penikas, 2021. "IRB PD model accuracy validation in the presence of default correlation: a twin confidence interval approach," Risk Management, Palgrave Macmillan, vol. 23(4), pages 282-300, December.
  10. Anna Merika & Ioannis Negkakis & Henry Penikas, 2021. "Stress-testing and credit risk revisited: a shipping sector application," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 12(4), pages 347-367.
  11. H. I. Penikas, 2021. "Premium for implicit deposit insurance within Russian state banks," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 10.
  12. Henry Penikas, 2021. "Review of Bank of Russia – NES Workshop 'Identification and Measurement of Macroprudential Policies Effects'," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 94-104, September.
  13. Maria Ermolova & Andrey Leonidov & Vladimir Nechitailo & Henry Penikas & Nikolay Pilnik & Ekaterina Serebryannikova, 2021. "Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation," Journal of Simulation, Taylor & Francis Journals, vol. 15(1-2), pages 82-92, April.
  14. Merikas, Andreas & Merika, Anna & Penikas, Henry I. & Surkov, Mikhail A., 2020. "The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
  15. Henry Penikas, 2020. "History of the World Largest Credit Risk Losses in 1972–2018," HSE Economic Journal, National Research University Higher School of Economics, vol. 24(1), pages 9-27.
  16. Yulia Titova & Henry Penikas & Nikita Gomayun, 2020. "The impact of hedging and trading derivatives on value, performance and risk of European banks," Empirical Economics, Springer, vol. 58(2), pages 535-565, February.
  17. Henry Penikas, 2020. "Low Default Portfolios in Basel II and Basel III as a Special Case of Significantly Unbalanced Classes in Binary Choice Models," Russian Journal of Money and Finance, Bank of Russia, vol. 79(2), pages 101-128, June.
  18. Agata Lozinskaia & Andreas Merikas & Anna Merika & Henry Penikas, 2017. "Determinants of the probability of default: the case of the internationally listed shipping corporations," Maritime Policy & Management, Taylor & Francis Journals, vol. 44(7), pages 837-858, October.
  19. Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 18-38.
  20. Henry Penikas & Anastasia Petrova, 2014. "An empirical analysis of growth and consolidation in banking: a Markovian approach for the case of Russia," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 4(1/2), pages 112-129.
  21. Penikas, Henry & Savelyeva, Alina, 2013. "Researching and forecasting aggregated consumers’ perception of imported food: Russia and Brazil case studies (1992–2020)," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 32(4), pages 45-70.
  22. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 3-21.
  23. Henry Penikas & Irina Andrievskayaa & Richard Connolly & Sergey Aivazian, 2011. "Modeling Risk Patterns of Russian Systemically Important Financial Institutions," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 1(1), pages 70-80, July.
  24. Penikas, Henry, 2010. "Copula-Models in Foreign Exchange Risk-Management of a Bank," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 17(1), pages 62-87.
  25. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
  26. Penikas, Henry & Simakova, Varvara, 2009. "Interest Rate Risk Management Based on Copula-GARCH Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 13(1), pages 3-36.
  27. Brodsky, Boris & Penikas, Henry & Safaryan, Irina, 2009. "Detection of Structural Breaks in Copula Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 16(4), pages 3-15.
  28. Penikas, Henry, 2008. "Forecasting for the Bank's Asset-Liability Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 12(4), pages 3-26.

Chapters

  1. Henry Penikas, 2022. "Key rate pass-through to deposit rates: experience from the pandemic era," Chapters, in: Duc K. Nguyen (ed.), Handbook of Banking and Finance in Emerging Markets, chapter 34, pages 634-650, Edward Elgar Publishing.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Ilya Khankov & Henry Penikas, 2015. "Modelling Probability of Default of Russian Banks and Companies Using Copula Models," DEM Working Papers Series 113, University of Pavia, Department of Economics and Management.

    Cited by:

    1. Nikolay Pilnik & Stanislav Radionov & Artem Yazykov, 2018. "The Optimal Behavior Model of the Modern Russian Banking System," HSE Economic Journal, National Research University Higher School of Economics, vol. 22(3), pages 418-447.
    2. N. P. Pilnik & I. G. Pospelov & S. A. Radionov, 2020. "On Limits of the Influence of the Bank of Russia Key Rate on Indicators of the Russian Banking System," Studies on Russian Economic Development, Springer, vol. 31(2), pages 229-237, March.

  2. Vadim Arzamasov & Henry Penikas, 2014. "Modeling Integral Financial Stability Index: A Cross-Country Study," HSE Working papers WP BRP 75/EC/2014, National Research University Higher School of Economics.

    Cited by:

    1. Marina Yu. Malkina & Rodion V. Balakin, 2023. "The Relation of Financial and Industrial Stresses to Monetary Policy Parameters in the Russian Economy," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 104-121, June.

  3. Henry Penikas & Proskurin S., 2013. "How Well do Analysts Predict Stock Prices? Evidence from Russia," HSE Working papers WP BRP 18/FE/2013, National Research University Higher School of Economics.

    Cited by:

    1. Егорова Людмила Геннадьевна, 2014. "Эффективность Торговых Стратегий Мелких Трейдеров," Проблемы управления, CyberLeninka;Общество с ограниченной ответственностью "СенСиДат-Контрол", issue 5, pages 34-41.
    2. Liudmila G. Egorova, 2014. "The Effectiveness Of Different Trading Strategies For Price-Takers," HSE Working papers WP BRP 29/FE/2014, National Research University Higher School of Economics.
    3. A. Belenky & L. Egorova, 2016. "Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques," Papers 1610.05703, arXiv.org.

Articles

  1. Henry Penikas, 2023. "IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-27, March.

    Cited by:

    1. Henry Penikas, 2023. "Default correlation impact on the loan portfolio credit risk measurement for the "green" finance as an example," Bank of Russia Working Paper Series wps121, Bank of Russia.

  2. Henry Penikas, 2022. "Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022," Russian Journal of Money and Finance, Bank of Russia, vol. 81(2), pages 20-48, June.

    Cited by:

    1. Andrey Bedin & Alexander Kulikov & Andrey Polbin, 2023. "Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 87-109, September.

  3. Anna Merika & Ioannis Negkakis & Henry Penikas, 2021. "Stress-testing and credit risk revisited: a shipping sector application," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 12(4), pages 347-367.

    Cited by:

    1. Henry Penikas, 2023. "IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-27, March.
    2. Henry Penikas, 2023. "Default correlation impact on the loan portfolio credit risk measurement for the "green" finance as an example," Bank of Russia Working Paper Series wps121, Bank of Russia.

  4. H. I. Penikas, 2021. "Premium for implicit deposit insurance within Russian state banks," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 10.

    Cited by:

    1. Anton Belyakov & Vadim Grishchenko, 2024. "Competition in the Financial Sector - Barriers, Challenges, and Paths for Further Development: A Review of the Bank of Russia, NES, and HSE University Workshop," Russian Journal of Money and Finance, Bank of Russia, vol. 83(3), pages 106-120, September.

  5. Henry Penikas, 2021. "Review of Bank of Russia – NES Workshop 'Identification and Measurement of Macroprudential Policies Effects'," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 94-104, September.

    Cited by:

    1. Dmitry Miroshnichenko, 2021. "Impact of Bank of Russia Macroprudential Policy on Risk Exposure of Banks' Consumer Loan Portfolios," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 73-93, September.

  6. Merikas, Andreas & Merika, Anna & Penikas, Henry I. & Surkov, Mikhail A., 2020. "The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).

    Cited by:

    1. Pranith Kumar Roy & Krishnendu Shaw, 2021. "A multicriteria credit scoring model for SMEs using hybrid BWM and TOPSIS," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    2. Pranith Kumar Roy & Krishnendu Shaw & Alessio Ishizaka, 2023. "Developing an integrated fuzzy credit rating system for SMEs using fuzzy-BWM and fuzzy-TOPSIS-Sort-C," Annals of Operations Research, Springer, vol. 325(2), pages 1197-1229, June.
    3. Stepankova, Barbora & Teply, Petr, 2023. "Consistency of banks' internal probability of default estimates: Empirical evidence from the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 154(C).
    4. Henry Penikas, 2021. "Review of Bank of Russia – NES Workshop 'Identification and Measurement of Macroprudential Policies Effects'," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 94-104, September.
    5. Pranith Kumar Roy & Krishnendu Shaw, 2022. "Developing a multi-criteria sustainable credit score system using fuzzy BWM and fuzzy TOPSIS," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 24(4), pages 5368-5399, April.
    6. Henry Penikas & Anastasia Skarednova & Mikhail Surkov, 2021. "How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?," Bank of Russia Working Paper Series wps74, Bank of Russia.

  7. Yulia Titova & Henry Penikas & Nikita Gomayun, 2020. "The impact of hedging and trading derivatives on value, performance and risk of European banks," Empirical Economics, Springer, vol. 58(2), pages 535-565, February.

    Cited by:

    1. Nimita Azam & Abdullah Mamun & George F. Tannous, 2022. "Credit derivatives and loan yields," The Financial Review, Eastern Finance Association, vol. 57(1), pages 205-241, February.
    2. Henry Penikas & Anastasia Skarednova & Mikhail Surkov, 2021. "How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?," Bank of Russia Working Paper Series wps74, Bank of Russia.

  8. Henry Penikas, 2020. "Low Default Portfolios in Basel II and Basel III as a Special Case of Significantly Unbalanced Classes in Binary Choice Models," Russian Journal of Money and Finance, Bank of Russia, vol. 79(2), pages 101-128, June.

    Cited by:

    1. Henry Penikas, 2020. "IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights," Bank of Russia Working Paper Series wps56, Bank of Russia.
    2. Henry Penikas, 2023. "Default correlation impact on the loan portfolio credit risk measurement for the "green" finance as an example," Bank of Russia Working Paper Series wps121, Bank of Russia.

  9. Agata Lozinskaia & Andreas Merikas & Anna Merika & Henry Penikas, 2017. "Determinants of the probability of default: the case of the internationally listed shipping corporations," Maritime Policy & Management, Taylor & Francis Journals, vol. 44(7), pages 837-858, October.

    Cited by:

    1. Alexandridis, George & Kavussanos, Manolis G. & Kim, Chi Y. & Tsouknidis, Dimitris A. & Visvikis, Ilias D., 2018. "A survey of shipping finance research: Setting the future research agenda," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 115(C), pages 164-212.
    2. Anna Burova & Henry Penikas & Svetlana Popova, 2021. "Probability of Default Model to Estimate Ex Ante Credit Risk," Russian Journal of Money and Finance, Bank of Russia, vol. 80(3), pages 49-72, September.
    3. Rita Bužinskienė & Vera Gelashvili, 2024. "The Economic and Financial Health of Lithuanian Logistics Companies," Risks, MDPI, vol. 12(6), pages 1-19, June.
    4. Mark Clintworth & Dimitrios Lyridis & Evangelos Boulougouris, 2023. "Financial risk assessment in shipping: a holistic machine learning based methodology," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 25(1), pages 90-121, March.
    5. Michal Pavlicko & Jaroslav Mazanec, 2022. "Minimalistic Logit Model as an Effective Tool for Predicting the Risk of Financial Distress in the Visegrad Group," Mathematics, MDPI, vol. 10(8), pages 1-22, April.

  10. Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 18-38.

    Cited by:

    1. Antonov I. N. & Knyazev A. G. & Lepekhin O. A., 2016. "Copula Models of the Joint Distribution of Exchange Rates," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(4), pages 20-38.

  11. Henry Penikas & Anastasia Petrova, 2014. "An empirical analysis of growth and consolidation in banking: a Markovian approach for the case of Russia," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 4(1/2), pages 112-129.

    Cited by:

    1. Vernikov, Andrei, 2017. "Структурные Или Институциональные Сдвиги? Попытка Измерения На Примере Банковского Сектора [Structural change, institutional change and their measurement: The case of banking]," MPRA Paper 79978, University Library of Munich, Germany.
    2. Fantazzini, Dean, 2014. "Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'," MPRA Paper 55430, University Library of Munich, Germany.

  12. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 3-21.

    Cited by:

    1. Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
    2. Andrey Bedin & Alexander Kulikov & Andrey Polbin, 2023. "Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 87-109, September.
    3. Blagoveschensky, Yury, 2012. "Basics of copula’s theory," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 26(2), pages 113-130.

  13. Penikas, Henry, 2010. "Copula-Models in Foreign Exchange Risk-Management of a Bank," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 17(1), pages 62-87.

    Cited by:

    1. Andrey Bedin & Alexander Kulikov & Andrey Polbin, 2023. "Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 87-109, September.
    2. E. Petrova A. & Е. Петрова А., 2014. "Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга // A Securitized Pool Of Operating Lease Assets And Its Residual Value Risk Evaluation," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, issue 3, pages 127-138.

  14. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.

    Cited by:

    1. Bronshtein , Efim & Prokudina, Elena & Gerasimova, Anna & Dubinskaya, Ksenya, 2011. "Estimation of the interdependence of time series of stocks prices based on copula," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 22-31.
    2. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 32(4), pages 110-133.
    3. Antonov I. N. & Knyazev A. G. & Lepekhin O. A., 2016. "Copula Models of the Joint Distribution of Exchange Rates," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(4), pages 20-38.
    4. Mikhail Semenov & Daulet Smagulov, 2017. "Portfolio Risk Assessment using Copula Models," Papers 1707.03516, arXiv.org.
    5. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 3-21.
    6. Travkin, A., 2015. "Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market," Journal of the New Economic Association, New Economic Association, vol. 25(1), pages 39-55.
    7. Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 42, pages 30-53.

  15. Penikas, Henry & Simakova, Varvara, 2009. "Interest Rate Risk Management Based on Copula-GARCH Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 13(1), pages 3-36.

    Cited by:

    1. Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 18-38.
    2. Andrey Bedin & Alexander Kulikov & Andrey Polbin, 2023. "Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 87-109, September.
    3. Петрова Екатерина Александровна, 2014. "Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 3, pages 127-138.
    4. Brodsky, Boris & Penikas, Henry & Safaryan, Irina, 2009. "Detection of Structural Breaks in Copula Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 16(4), pages 3-15.
    5. Aivazian, Sergei & Afanasiev, Mikhail & Rudenko, Victoria, 2014. "Analysis of dependence between the random components of a stochastic production function for the purpose of technical efficiency estimation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 34(2), pages 3-18.

  16. Brodsky, Boris & Penikas, Henry & Safaryan, Irina, 2009. "Detection of Structural Breaks in Copula Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 16(4), pages 3-15.

    Cited by:

    1. Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
    2. Arkhipova, Marina & Egorov, Alexey & Sirotin, Viacheslav, 2017. "Returns to schooling in Russia and Ukraine: Comparative analysis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 47, pages 100-122.
    3. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 3-21.
    4. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    5. Andrey Bedin & Alexander Kulikov & Andrey Polbin, 2023. "Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 87-109, September.

  17. Penikas, Henry, 2008. "Forecasting for the Bank's Asset-Liability Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 12(4), pages 3-26.

    Cited by:

    1. Penikas, Henry & Simakova, Varvara, 2009. "Interest Rate Risk Management Based on Copula-GARCH Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 13(1), pages 3-36.

Chapters

    Sorry, no citations of chapters recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (9) 2014-09-29 2016-01-18 2016-01-29 2020-08-17 2021-03-01 2021-08-09 2022-04-25 2023-05-08 2023-05-08. Author is listed
  2. NEP-CIS: Confederation of Independent States (7) 2013-12-06 2014-09-29 2015-12-28 2016-01-18 2016-01-29 2018-02-12 2022-04-25. Author is listed
  3. NEP-BAN: Banking (6) 2014-09-29 2015-01-14 2016-01-29 2020-08-17 2021-03-01 2021-08-09. Author is listed
  4. NEP-MAC: Macroeconomics (4) 2014-09-29 2018-02-12 2021-03-01 2022-04-25
  5. NEP-TRA: Transition Economics (4) 2013-12-06 2014-09-29 2016-01-18 2016-01-29
  6. NEP-CBA: Central Banking (3) 2013-12-06 2021-08-09 2022-04-25
  7. NEP-ACC: Accounting and Auditing (2) 2020-08-17 2023-05-08
  8. NEP-CFN: Corporate Finance (2) 2021-03-01 2023-05-08
  9. NEP-ECM: Econometrics (2) 2013-12-06 2016-09-25
  10. NEP-SEA: South East Asia (2) 2021-08-09 2022-04-25
  11. NEP-CBE: Cognitive and Behavioural Economics (1) 2015-12-28
  12. NEP-DCM: Discrete Choice Models (1) 2014-09-29
  13. NEP-ENV: Environmental Economics (1) 2023-05-08
  14. NEP-ETS: Econometric Time Series (1) 2016-09-25
  15. NEP-FOR: Forecasting (1) 2013-12-06
  16. NEP-GER: German Papers (1) 2014-09-29
  17. NEP-IAS: Insurance Economics (1) 2014-09-29
  18. NEP-ISF: Islamic Finance (1) 2021-08-09
  19. NEP-LAW: Law and Economics (1) 2015-12-28

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Henry Penikas should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can 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.