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Modeling Risk Patterns of Russian Systemically Important Financial Institutions


  • Henry Penikas

    (National research university ‘Higher School of Economics’ (Moscow, Russia))

  • Irina Andrievskayaa

    (University of Verona (Italy))

  • Richard Connolly

    (University of Birmingham (United Kingdom))

  • Sergey Aivazian

    (Central Economic-Mathematical Institute (Moscow, Russia))


The world financial crisis of 2008-2009 has shown that the existence of systemically important financial institutions (SIFIs) poses serious policy challenges to both developed and developing economies’ authorities. As for now there are different approaches to identifying SIFIs focused on contagion, concentration, correlation and conditions effects. The paper aims at testing a new approach to SIFIs’ identification based on the Russian banking data panel. It is hypothesized that SIFIs are characterized by unique behaviour in terms of risks undertaken. Automatic clustering procedure is being run to find homogeneous groups of banks in terms of their risk patterns. Risk patterns include proxies for credit, market, operational risk values for each bank in a sample. In order to reconstruct aggregate risk patterns for the banking clusters, copula models are used. Time variances in risk profile are accounted by identifying copula structural shift moment. The paper also tests a hypothesis about the key role of the institution’s size in determining systemic importance. Finally the effectiveness of SIFIs’ identification based on their risk profile is evaluated. When concluding, recommendations on SIFIs’ regulation in Russia are provided.

Suggested Citation

  • 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.
  • Handle: RePEc:rse:wpaper:v:1:y:2011:i:1:p:70-80

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    Russia; systemically important banks; risk; copula; pattern;

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


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