3
H index
0
i10 index
41
Citations
Henry Penikas : Citation Profile
Central Bank of the Russian Federation | RESEARCH PRODUCTION: 28 Articles 19 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2008 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Henry Penikas. | Is cited by:
| Cites to:
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Main data
Where Henry Penikas has published?
| Journals with more than one article published | # docs |
|---|---|
| Applied Econometrics | 7 |
| Russian Journal of Money and Finance | 4 |
| Voprosy Ekonomiki | 2 |
| Risk Management | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| HSE Working papers / National Research University Higher School of Economics | 9 |
| Bank of Russia Working Paper Series / Bank of Russia | 5 |
| DEM Working Papers Series / University of Pavia, Department of Economics and Management | 3 |
Recent works citing Henry Penikas (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Smoothing the Key Rate Pass-Through: What to Keep in Mind When Interpreting Econometric Estimates. (2023). Penikas, Henry. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:82:y:2023:i:3:p:3-34. Full description at Econpapers || Download paper |
| 2023 | Copula-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 |
| 2023 | Consistency 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 |
| 2023 | Financial 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 |
| 2023 | Структурные или инÑтитуциональные Ñдвиги? Попытка Ð¸Ð·Ð¼ÐµÑ€ÐµÐ½Ð¸Ñ Ð½Ð° примере банковÑкого Ñектора. (2017). Vernikov, Andrei. In: MPRA Paper. RePEc:pra:mprapa:79978. Full description at Econpapers || Download paper |
| 2023 | Developing 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:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2023 | Measuring climate-credit risk relationship using world input-output tables In: Russian Journal of Economics. [Full Text][Citation analysis] | article | 0 |
| 2016 | Copula-Based Univariate Time Series Structural Shift Identification Test In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Low 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. [Full Text][Citation analysis] | article | 1 |
| 2021 | Probability of Default Model to Estimate Ex Ante Credit Risk In: Russian Journal of Money and Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Review of Bank of Russia – NES Workshop Identification and Measurement of Macroprudential Policies Effects In: Russian Journal of Money and Finance. [Full Text][Citation analysis] | article | 1 |
| 2022 | Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022 In: Russian Journal of Money and Finance. [Full Text][Citation analysis] | article | 2 |
| 2022 | The Interrelationship of Credit and Climate Risks In: Bank of Russia Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights In: Bank of Russia Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Macroprudential Policy Efficiency: Assessment for the Uncollateralized Consumer Loans in Russia In: Bank of Russia Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2021 | How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily? In: Bank of Russia Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models In: Bank of Russia Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Macroprudential policy efficiency in Russia: Assessment for the uncollateralized consumer loans In: Emerging Markets Review. [Full Text][Citation analysis] | article | 0 |
| 2020 | The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks In: The Journal of Economic Asymmetries. [Full Text][Citation analysis] | article | 4 |
| 2022 | Key rate pass-through to deposit rates: experience from the pandemic era In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2020 | History of the World Largest Credit Risk Losses in 1972–2018 In: HSE Economic Journal. [Full Text][Citation analysis] | article | 0 |
| 2012 | Modeling Policy Response to Global Systemically Important Banks Regulation In: HSE Working papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | An Optimal Incentive Contract Preventing Excessive Risk-Taking by a Bank Manager In: HSE Working papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries In: HSE Working papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Copula structural shift identification In: HSE Working papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Do Hedging and Trading Derivatives Have the Same Impact on Public European Banks Value and Share Performance? In: HSE Working papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Does banking regulation cause counterproductive economic dynamics? In: HSE Working papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | How Well do Analysts Predict Stock Prices? Evidence from Russia In: HSE Working papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | The Decision-Making Process in Punishment Imposition: Four Factors of Public Perception in Russia In: HSE Working papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Modeling Integral Financial Stability Index: A Cross-Country Study In: HSE Working papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | An empirical analysis of growth and consolidation in banking: a Markovian approach for the case of Russia In: International Journal of Computational Economics and Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2021 | Stress-testing and credit risk revisited: a shipping sector application In: International Journal of Banking, Accounting and Finance. [Full Text][Citation analysis] | article | 1 |
| 2010 | Financial Applications of Copula-Models In: Journal of the New Economic Association. [Full Text][Citation analysis] | article | 6 |
| 2021 | Premium for implicit deposit insurance within Russian state banks In: VOPROSY ECONOMIKI. [Full Text][Citation analysis] | article | 1 |
| 2023 | Retail loan pricing determinants in Russia In: VOPROSY ECONOMIKI. [Full Text][Citation analysis] | article | 0 |
| 2021 | IRB PD model accuracy validation in the presence of default correlation: a twin confidence interval approach In: Risk Management. [Full Text][Citation analysis] | article | 0 |
| 2023 | IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights In: Risk Management. [Full Text][Citation analysis] | article | 1 |
| 2014 | Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Modelling Probability of Default of Russian Banks and Companies Using Copula Models In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
| 2018 | History of the World Largest Financial Losses in 1972-2018 In: DEM Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2016 | QAIDS Model Based on Russian Pseudo - Panel Data: Impact of 1998 and 2008 Crises In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Forecasting for the Banks Asset-Liability Management In: Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2009 | Interest Rate Risk Management Based on Copula-GARCH Models In: Applied Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2009 | Detection of Structural Breaks in Copula Models In: Applied Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2010 | Copula-Models in Foreign Exchange Risk-Management of a Bank In: Applied Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2011 | Copula-Based Price Risk Hedging Models In: Applied Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2013 | Researching and forecasting aggregated consumers’ perception of imported food: Russia and Brazil case studies (1992–2020) In: Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Investment portfolio risk modelling based on hierarchical copulas In: Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2011 | Modeling Risk Patterns of Russian Systemically Important Financial Institutions In: Review of Applied Socio-Economic Research. [Full Text][Citation analysis] | article | 0 |
| 2020 | The impact of hedging and trading derivatives on value, performance and risk of European banks In: Empirical Economics. [Full Text][Citation analysis] | article | 1 |
| 2023 | Money multiplier under Basel capital ratio regulation: implications for counter-COVID-19 stimulus In: Journal of Sustainable Finance & Investment. [Full Text][Citation analysis] | article | 0 |
| 2017 | Determinants of the probability of default: the case of the internationally listed shipping corporations In: Maritime Policy & Management. [Full Text][Citation analysis] | article | 4 |
| 2021 | Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation In: Journal of Simulation. [Full Text][Citation analysis] | article | 0 |
| 2023 | How Do Investors Prefer for Banks to Transition to Basel Internal Models: Mandatorily or Voluntarily? In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team