Models for Moody’s bank ratings

The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody’s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Finan-cial Strength Ratings (BFSR), taking into account “external bank support factors” (joint-default analysis, JDA). Models for the (unobserved) external support are presented, and we find that models based solely on public infor-mation can approximate the ratings reasonably well. It appears that the ob-served rating degradation can be explained by the growth of the banking sys-tem as a whole. Moody’s has a special approach for banks in developing countries in general and for Russia in particular. The models help reveal the factors that are important for external bank support

Models for Moody’s bank ratings

The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody’s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Finan-cial Strength Ratings (BFSR), taking into account “external bank support factors” (joint-default analysis, JDA). Models for the (unobserved) external support are presented, and we find that models based solely on public infor-mation can approximate the ratings reasonably well. It appears that the ob-served rating degradation can be explained by the growth of the banking sys-tem as a whole. Moody’s has a special approach for banks in developing countries in general and for Russia in particular. The models help reveal the factors that are important for external bank support

Моделирование рейтингов российских банков

The paper presents econometric analysis of the of Russian banks ratings, and the experts’ opinion based on a survey, designed in a framework of the project. From the ratings and the survey we derived the factors that in the experts’ opinion and in the rating agencies’ opinion are most important for bank reliability. The models of the ratings and experts’ opinions were designed for real and virtual banks. We constructed the model ratings of the Russian banks. These models use only publicly available information and hence could be used as an early warning system of the current bank reliability

Моделирование рейтингов российских банков

The paper presents econometric analysis of the of Russian banks ratings, and the experts’ opinion based on a survey, designed in a framework of the project. From the ratings and the survey we derived the factors that in the experts’ opinion and in the rating agencies’ opinion are most important for bank reliability. The models of the ratings and experts’ opinions were designed for real and virtual banks. We constructed the model ratings of the Russian banks. These models use only publicly available information and hence could be used as an early warning system of the current bank reliability

Macro-financial linkages and bank behaviour: evidence from the second-round effects of the global financial crisis on East Asia

This paper studies the link between macro-financial variability and bank behaviour, which justifies the second-round effects of the global financial crisis on East Asia. Following Gallego et al. (The impact of the global economic and financial crisis on Central Eastern and South Eastern Europe (CESEE) and Latin America, 2010), the second round effects are defined as the adverse feedback loop from the slumps in economic activities and sharp financial market deterioration, which may influence the financial performance of bank, inter alia via deteriorating credit quality, declining profitability and increasing problems in retaining necessary capitalization. Differentiating itself from other research, this study stresses adjustments in four dimensions of bank performance and behaviour: asset quality, profitability, capital adequacy, and lending behaviour, assuming that any change in a bank-specific characteristic is induced by endogenous adjustments of the others. The empirical results based on partial adjustment models and two-step system GMM estimation show that bank’s adjustment behaviour is subject to the variation in the macro-financial environment and the stress condition in the global financial market. There is no convincing evidence to support the effectiveness of policy rate cut to boots bank lending and to avoid a financial accelerator effect

Preliminary safety and efficacy of first-line pertuzumab combined with trastuzumab and taxane therapy for HER2-positive locally recurrent or metastatic breast cancer (PERUSE).

BACKGROUND: Pertuzumab combined with trastuzumab and docetaxel is the standard first-line therapy for HER2-positive metastatic breast cancer, based on results from the phase III CLEOPATRA trial. PERUSE was designed to assess the safety and efficacy of investigator-selected taxane with pertuzumab and trastuzumab in this setting. PATIENTS AND METHODS: In the ongoing multicentre single-arm phase IIIb PERUSE study, patients with inoperable HER2-positive advanced breast cancer (locally recurrent/metastatic) (LR/MBC) and no prior systemic therapy for LR/MBC (except endocrine therapy) received docetaxel, paclitaxel or nab-paclitaxel with trastuzumab [8\u2009mg/kg loading dose, then 6\u2009mg/kg every 3\u2009weeks (q3w)] and pertuzumab (840\u2009mg loading dose, then 420\u2009mg q3w) until disease progression or unacceptable toxicity. The primary end point was safety. Secondary end points included overall response rate (ORR) and progression-free survival (PFS). RESULTS: Overall, 1436 patients received at least one treatment dose (initially docetaxel in 775 patients, paclitaxel in 589, nab-paclitaxel in 65; 7 discontinued before starting taxane). Median age was 54\u2009years; 29% had received prior trastuzumab. Median treatment duration was 16\u2009months for pertuzumab and trastuzumab and 4\u2009months for taxane. Compared with docetaxel-containing therapy, paclitaxel-containing therapy was associated with more neuropathy (all-grade peripheral neuropathy 31% versus 16%) but less febrile neutropenia (1% versus 11%) and mucositis (14% versus 25%). At this preliminary analysis (52 months' median follow-up), median PFS was 20.6 [95% confidence interval (CI) 18.9-22.7] months overall (19.6, 23.0 and 18.1\u2009months with docetaxel, paclitaxel and nab-paclitaxel, respectively). ORR was 80% (95% CI 78%-82%) overall (docetaxel 79%, paclitaxel 83%, nab-paclitaxel 77%). CONCLUSIONS: Preliminary findings from PERUSE suggest that the safety and efficacy of first-line pertuzumab, trastuzumab and taxane for HER2-positive LR/MBC are consistent with results from CLEOPATRA. Paclitaxel appears to be a valid alternative taxane backbone to docetaxel, offering similar PFS and ORR with a predictable safety profile. CLINICALTRIALS.GOV: NCT01572038

Final results from the PERUSE study of first-line pertuzumab plus trastuzumab plus a taxane for HER2-positive locally recurrent or metastatic breast cancer, with a multivariable approach to guide prognostication

Background: The phase III CLinical Evaluation Of Pertuzumab And TRAstuzumab (CLEOPATRA) trial established the combination of pertuzumab, trastuzumab and docetaxel as standard first-line therapy for human epidermal growth factor receptor 2 (HER2)-positive locally recurrent/metastatic breast cancer (LR/mBC). The multicentre single-arm PERtUzumab global SafEty (PERUSE) study assessed the safety and efficacy of pertuzumab and trastuzumab combined with investigator-selected taxane in this setting. Patients and methods: Eligible patients with inoperable HER2-positive LR/mBC and no prior systemic therapy for LR/mBC (except endocrine therapy) received docetaxel, paclitaxel or nab-paclitaxel with trastuzumab and pertuzumab until disease progression or unacceptable toxicity. The primary endpoint was safety. Secondary endpoints included progression-free survival (PFS) and overall survival (OS). Prespecified subgroup analyses included subgroups according to taxane, hormone receptor (HR) status and prior trastuzumab. Exploratory univariable analyses identified potential prognostic factors; those that remained significant in multivariable analysis were used to analyse PFS and OS in subgroups with all, some or none of these factors. Results: Of 1436 treated patients, 588 (41%) initially received paclitaxel and 918 (64%) had HR-positive disease. The most common grade 653 adverse events were neutropenia (10%, mainly with docetaxel) and diarrhoea (8%). At the final analysis (median follow-up: 5.7 years), median PFS was 20.7 [95% confidence interval (CI) 18.9-23.1] months overall and was similar irrespective of HR status or taxane. Median OS was 65.3 (95% CI 60.9-70.9) months overall. OS was similar regardless of taxane backbone but was more favourable in patients with HR-positive than HR-negative LR/mBC. In exploratory analyses, trastuzumab-pretreated patients with visceral disease had the shortest median PFS (13.1 months) and OS (46.3 months). Conclusions: Mature results from PERUSE show a safety and efficacy profile consistent with results from CLEOPATRA and median OS exceeding 5 years. Results suggest that paclitaxel is a valid alternative to docetaxel as backbone chemotherapy. Exploratory analyses suggest risk factors that could guide future trial design

Моделирование рейтинговой системы экспортно ориентированных компаний АПК РФ. Механизм субсидирования

 The study explores the influence of internal factors on the level of exports of products of the agro-industrial complexof the Russian Federation (AIC RF). The subject of the research is the competitiveness of export-oriented companies in  the agro-industrial complex of the Russian Federation. The relevance of the study is due to the growth of exports of agricultural products, which is gradually becoming one of the most important sources of foreign exchange earnings in the country. The aim of the paper is to form a rating model for Russian companies focused on the export of agricultural products, on the basis of which to propose the most effective measures to support agricultural enterprises. The authors apply the following methods: systematization and classification of information, statistical, coefficient, and regression analysis. Such tools as linear regression models, logistic regression (logit, probit), ordered probit model are considered The authors use the Ginny coefficient (area under the curve Roc) for binomial models and an adjusted R2 for thelinear model as a quality criterion for the model. As a result, the study identified the key internal and external factors affecting the competitiveness of agricultural exporting companies. Internal factors include stocks, net assets, short-term borrowings, equity capital, fixed assets turnover, long-term liabilities, accounts payable. Among the external factors for both ordinal and binomial models, the most significant were the increase in imports, the logarithm of GDP, and the logarithm of GDP per capita. A model of rating assessment of companies has been developed. Proposals are formulated for using the developed system as a simulation model when making decisions on the development and support of food exports in Russia. The authors propose a combined mechanism for supporting enterprises, depending on the rating determined by the model. It is concluded that the implementation of this approach will significantly increase the level of economic efficiency of budget support funds aimed at stimulating exports. The prospect for further research on this topic is to study the influence of qualitative factors that were not included in the model: the drought index, sanctions, and other macroeconomic events and parameters. Исследование посвящено изучению влияния внутренних факторов на уровень экспорта продукции агропромышленного комплекса России (АПК РФ). Предметом исследования является конкурентоспособность экспортно ориентированных компаний АПК РФ. Актуальность обусловлена ростом объемов экспорта сельхозпродукции, который постепенно становится одним из важнейших источников валютных поступлений в стране. Цель исследования — сформировать модель рейтинговой оценки компаний России,  ориентированных на экспорт сельскохозяйственной продукции, на основе которой предложить наиболее эффективные меры поддержки предприятий АПК. В ходе работы использованы такие методы, как: систематизация и классификация информации, статистический, коэффициентный и регрессионный анализы. Рассмотрены такие инструменты, как модели линейной регрессии, логистической регрессии (логит, пробит), упорядоченная пробит модель. Как критерий качества модели использован коэффициент Джини (площадь под Roc-кривой) для биномиальных моделей и скорректированный R2 для линейной модели. В результате исследования выявлены ключевые внутренние и внешние факторы, оказывающие влияние на конкурентоспособность компаний — экспортеров продукции АПК. К внутренним факторам относятся: запасы, чистые активы, краткосрочные заимствования, собственный капитал, оборачиваемость основных средств, долгосрочные обязательства, кредиторская задолженность.  Среди внешних факторов, как для порядковых, так и для биномиальных моделей, наиболее  значимыми оказались прирост импорта логарифм ВВП, логарифм ВВП на душу населения.  Разработана модель рейтинговой оценки компаний. Сформулированы предложения для  использования разработанной системы как имитационной модели при принятии решений о  развитии и поддержке экспорта продовольствия в России. Предложен комбинированный механизм поддержки предприятий в зависимости от определенного моделью рейтинга. Сделан вывод, что  реализация данного подхода позволит существенно повысить уровень экономической эффективности средств бюджетной поддержки, направленных на стимулирование экспорта.  Перспектива дальнейших исследований данной тематики состоит в изучении влияния качественных  факторов, не вошедших в модель: индекса засухи, санкций, других  макроэкономических событий и параметров.

COLLATERAL DETERMINATS IN BANK RISK MANANAGEMENT: THE REGIONAL CASE

Regional banks are struggling with significant obstacles in the modern Russian economy. Among them are strong competition with major big banks, strong resource restrictions, tightening the Bank of Russia’s requirements, and quite rapid expansion of financial technologies. Thus, the reduction of regional banks occurs, that produces both a negative impact on the development of small and medium enterprises (SMEs) and challenges for balanced competition on the Russian market. Basically, these banks provide the settlement of region’s social and economic problems while maintaining local companies and enterprises.  Collateral, as a source for losses covering, became the essential element of credit risk management in banks. Providing lenders to implement such instruments, it helps to reduce bank losses under borrower’s default.  The purpose of the article relates to revealing of collateral determinants with higher impact on bank risk with the application of empirical methods (including regional level). This study is based on linear regression models evaluated by the least square method. Private data of secured small and medium business loans is used.  This article presents LTV (loan-to-value) as a major collateral determinant. The empirical evidence of interlinkage between collateral requirements, by the means of LTV, and risk premium is provided for loan portfolio of Russian regional banks. The hypothesis that LTV conversely correlates with risk premium is statistically proved