Henry Penikas : Citation Profile


Are you Henry Penikas?

Central Bank of the Russian Federation

3

H index

0

i10 index

35

Citations

RESEARCH PRODUCTION:

28

Articles

19

Papers

1

Chapters

RESEARCH ACTIVITY:

   15 years (2008 - 2023). See details.
   Cites by year: 2
   Journals where Henry Penikas has often published
   Relations with other researchers
   Recent citing documents: 5.    Total self citations: 11 (23.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe989
   Updated: 2024-01-16    RAS profile: 2023-08-26    
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Relations with other researchers


Works with:

Kozlovtceva, Irina (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Henry Penikas.

Is cited by:

Polbin, Andrey (5)

Radionov, Stanislav (2)

Egorova, Lyudmila (2)

Pilnik, Nikolay (2)

Fantazzini, Dean (1)

sirotin, viacheslav (1)

Bronshtein, Efim (1)

Tsouknidis, Dimitris (1)

Kavussanos, Manolis (1)

arhipova, marina (1)

Vernikov, Andrei (1)

Cites to:

Remillard, Bruno (13)

Fantazzini, Dean (11)

McCann, Fergal (6)

Malevergne, Yannick (6)

Stulz, René (6)

Scaillet, Olivier (6)

merton, robert (6)

Carraro, Carlo (5)

Gurgand, Marc (5)

Duncan, Greg (5)

De Pooter, Michiel (4)

Main data


Where Henry Penikas has published?


Journals with more than one article published# docs
Applied Econometrics7
Russian Journal of Money and Finance4
Risk Management2
Voprosy Ekonomiki2

Working Papers Series with more than one paper published# docs
HSE Working papers / National Research University Higher School of Economics9
Bank of Russia Working Paper Series / Bank of Russia5
DEM Working Papers Series / University of Pavia, Department of Economics and Management3

Recent works citing Henry Penikas (2024 and 2023)


YearTitle of citing document
2023Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices. (2023). Polbin, Andrey ; Kulikov, Alexander ; Bedin, Andrey. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:82:y:2023:i:3:p:87-109.

Full description at Econpapers || Download paper

2023Consistency of banks internal probability of default estimates: Empirical evidence from the COVID-19 crisis. (2023). Teply, Petr ; Stepankova, Barbora. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s037842662300167x.

Full description at Econpapers || Download paper

2023Financial risk assessment in shipping: a holistic machine learning based methodology. (2023). Boulougouris, Evangelos ; Lyridis, Dimitrios ; Clintworth, Mark. In: Maritime Economics & Logistics. RePEc:pal:marecl:v:25:y:2023:i:1:d:10.1057_s41278-020-00183-2.

Full description at Econpapers || Download paper

2023Developing an integrated fuzzy credit rating system for SMEs using fuzzy-BWM and fuzzy-TOPSIS-Sort-C. (2023). Ishizaka, Alessio ; Shaw, Krishnendu ; Roy, Pranith Kumar. In: Annals of Operations Research. RePEc:spr:annopr:v:325:y:2023:i:2:d:10.1007_s10479-022-04704-5.

Full description at Econpapers || Download paper

Works by Henry Penikas:


YearTitleTypeCited
2023Measuring climate-credit risk relationship using world input-output tables In: Russian Journal of Economics.
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article0
2016Copula-Based Univariate Time Series Structural Shift Identification Test In: Papers.
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2020Low Default Portfolios in Basel II and Basel III as a Special Case of Significantly Unbalanced Classes in Binary Choice Models In: Russian Journal of Money and Finance.
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article0
2021Probability of Default Model to Estimate Ex Ante Credit Risk In: Russian Journal of Money and Finance.
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article0
2021Review of Bank of Russia – NES Workshop ‘Identification and Measurement of Macroprudential Policies Effects’ In: Russian Journal of Money and Finance.
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article1
2022Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022 In: Russian Journal of Money and Finance.
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article1
2022The Interrelationship of Credit and Climate Risks In: Bank of Russia Working Paper Series.
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paper0
2020IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights In: Bank of Russia Working Paper Series.
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2020Macroprudential Policy Efficiency: Assessment for the Uncollateralized Consumer Loans in Russia In: Bank of Russia Working Paper Series.
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2021How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily? In: Bank of Russia Working Paper Series.
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2022Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models In: Bank of Russia Working Paper Series.
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2022Macroprudential policy efficiency in Russia: Assessment for the uncollateralized consumer loans In: Emerging Markets Review.
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2020The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks In: The Journal of Economic Asymmetries.
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article4
2022Key rate pass-through to deposit rates: experience from the pandemic era In: Chapters.
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2020History of the World Largest Credit Risk Losses in 1972–2018 In: HSE Economic Journal.
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2012Modeling Policy Response to Global Systemically Important Banks Regulation In: HSE Working papers.
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2012An Optimal Incentive Contract Preventing Excessive Risk-Taking by a Bank Manager In: HSE Working papers.
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2012A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries In: HSE Working papers.
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2012Copula structural shift identification In: HSE Working papers.
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2012Do Hedging and Trading Derivatives Have the Same Impact on Public European Banks Value and Share Performance? In: HSE Working papers.
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2013Does banking regulation cause counterproductive economic dynamics? In: HSE Working papers.
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2013How Well do Analysts Predict Stock Prices? Evidence from Russia In: HSE Working papers.
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paper3
2015The Decision-Making Process in Punishment Imposition: Four Factors of Public Perception in Russia In: HSE Working papers.
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2014Modeling Integral Financial Stability Index: A Cross-Country Study In: HSE Working papers.
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paper1
2014An empirical analysis of growth and consolidation in banking: a Markovian approach for the case of Russia In: International Journal of Computational Economics and Econometrics.
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article2
2021Stress-testing and credit risk revisited: a shipping sector application In: International Journal of Banking, Accounting and Finance.
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article0
2010Financial Applications of Copula-Models In: Journal of the New Economic Association.
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article6
2021Premium for implicit deposit insurance within Russian state banks In: Voprosy Ekonomiki.
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article0
2023Retail loan pricing determinants in Russia In: Voprosy Ekonomiki.
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article0
2021IRB PD model accuracy validation in the presence of default correlation: a twin confidence interval approach In: Risk Management.
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2023IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights In: Risk Management.
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2014Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia In: DEM Working Papers Series.
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2015Modelling Probability of Default of Russian Banks and Companies Using Copula Models In: DEM Working Papers Series.
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paper2
2018History of the World Largest Financial Losses in 1972-2018 In: DEM Working Papers Series.
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paper0
2016QAIDS Model Based on Russian Pseudo - Panel Data: Impact of 1998 and 2008 Crises In: MPRA Paper.
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paper0
2008Forecasting for the Banks Asset-Liability Management In: Applied Econometrics.
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article0
2009Interest Rate Risk Management Based on Copula-GARCH Models In: Applied Econometrics.
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article3
2009Detection of Structural Breaks in Copula Models In: Applied Econometrics.
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article2
2010Copula-Models in Foreign Exchange Risk-Management of a Bank In: Applied Econometrics.
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2011Copula-Based Price Risk Hedging Models In: Applied Econometrics.
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article3
2013Researching and forecasting aggregated consumers’ perception of imported food: Russia and Brazil case studies (1992–2020) In: Applied Econometrics.
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2014Investment portfolio risk modelling based on hierarchical copulas In: Applied Econometrics.
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article1
2011Modeling Risk Patterns of Russian Systemically Important Financial Institutions In: Review of Applied Socio-Economic Research.
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article0
2020The impact of hedging and trading derivatives on value, performance and risk of European banks In: Empirical Economics.
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article1
2023Money multiplier under Basel capital ratio regulation: implications for counter-COVID-19 stimulus In: Journal of Sustainable Finance & Investment.
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article0
2017Determinants of the probability of default: the case of the internationally listed shipping corporations In: Maritime Policy & Management.
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article3
2021Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation In: Journal of Simulation.
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article0
2023How Do Investors Prefer for Banks to Transition to Basel Internal Models: Mandatorily or Voluntarily? In: Quarterly Journal of Finance (QJF).
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article0

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