Review of Bank of Russia Conference on ‘Macroprudential Policy Effectiveness: Theory and Practice’

Ivanova, Nadezhda; Andreev, Mikhail; Sinyakov, Andrey; Shevchuk, Ivan

doi:10.31477/rjmf.201903.89

Cited by 4 publications

(2 citation statements)

References 27 publications

(42 reference statements)

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“…They either receive an equity return premium or have smaller credit risks, see Capasso et al (2020), Degryse et al (2021), Vymyatnina and Chernykh (2022). Their arguments are, however, objected to by Penikas (2022) and Ivanova et al (2022). For instance, using the same initial input dataset Capasso et al (2020) argue that the climate-credit risk relationship is positive, while Penikas (2022), on the other hand, found a negative relationship.…”

Section: Literature Reviewmentioning

confidence: 99%

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Measuring climate-credit risk relationship using world input-output tables

Penikas¹,

Vasilyeva²

2023

RUJEC

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The Basel Committee recommended the use of input-output tables to properly measure climate risks. However, the majority of previous studies only limits the use of input-output tables to carbon emissions and this is not applied in climate risk ratings. The existing climate (E) risk ratings (scores) was modified or transformed from Sustainalytics to the full climate risk scores using input-output tables. Positive relationship between credit risks and the full climate risk estimates at the industry level was identified, and this justifies the interest rate discount granted to firms in the green industries. Thus, for the purpose of lending the full degree of greenness derived from input-output tables should be considered, not substituting this by the easily observable and publicly available marginal climate risk ratings like those provided by Sustainalytics.

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Section: Literature Reviewmentioning

confidence: 99%

“…For instance, during the summer 2022, a conference was administered by the Bank of Russia together with the New Economic School. 1 The respective review is available in Ivanova et al (2022).…”

Section: Introductionmentioning

confidence: 99%

Measuring climate-credit risk relationship using world input-output tables

Penikas¹,

Vasilyeva²

2023

RUJEC

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IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights

Penikas

2022

Risk Manag

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Assessment of Russian non-financial companies' systemic risk in financial stability monitoring

Parfenova

Львова

2020

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Subject. The article addresses the issues of financial stability monitoring as part of macroprudental supervision and regulation. The study concerns non-financial companies as a source of systemic risk for the national financial system. There are a lot of discussions about monitoring of systemically important borrowers under the auspices of the Russian Regulator. Objectives. Research is aimed at developing a methodology for assessing the systemic risk of Russian non-financial companies. Methods. We propose a set of indicators to assess the systemic risk derived from non-financial companies in Russia. The sample of indicators corresponds with the leading international practice and available data. The dynamic analysis of the sampled indicators should be conducted. We should focus on separate indicators and for a comprehensive view using a new composite indicator of systemic risk. Results. We devised a methodology for assessing the systemic risk of Russian non-financial companies. The relevance of the methodology was proved with empirical data. The sample includes 3,766 companies per year. The proposed indicators were proved to reflect an adequate change in the tested period (the year before, during and after financial instability). Conclusions and Relevance. Our methodology contributes to the current scientific discussion on new directions for assessing the financial stability. The results can be applied to the analytical practice, including the macroprudential supervision and regulation.

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Review of Bank of Russia Conference on ‘Macroprudential Policy Effectiveness: Theory and Practice’

Abstract: Petersburg in early July. 2 This review will briefly summarise the discussions with a strong focus on research insights, both the authors' and our own, that are of practical importance to central bank policy.

Cited by 4 publications

References 27 publications

Measuring climate-credit risk relationship using world input-output tables

Measuring climate-credit risk relationship using world input-output tables

IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights

Assessment of Russian non-financial companies' systemic risk in financial stability monitoring

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