DeCAn Seminar

On Wednesday, February 3, the National Research University Higher School of Economics hosted a regular meeting of the All-Moscow seminar "Mathematical methods for analyzing optimal solutions in economics, business and politics".

Topic: "Agent-based modeling for choosing the optimal banking system regulation regime (on the example of Russia)"
Speakers: Ermolova M.D. (HSE University)

Seminar leaders:
Doctor of Technical Sciences, prof. Aleskerov Fuad Tagievich
Doctor of Technical Sciences, prof. Podinovsky Vladislav Vladimirovich
Doctor of Technical Sciences, prof. Mirkin Boris Grigorievich

Annotation:
There is a problem of underestimating credit risk using the methods proposed by the Basel Committee on Banking Supervision. The scope of the problem is significant. The standards have been implemented in 64 countries, and they account for over 90% of world GDP. Credit risk accounts for 70% of the risk of the entire system. In December 2020, the Bank of Russia noticed an increase in debt burden, which amplifies the effect of the coronavirus pandemic on the economy. In this regard, the relevance of research is increasing in terms of underestimating credit risk.

Underestimating the level of credit risk leads to an rise of the level of capital requirements. The latter gives rise to the shadow banking system. Then the question arises: what level of capital can be considered as sufficient. In this regard, the achievement of the study is a reasonable universal regulation regime for ensuring credit risk under such conditions of observable factors as the interrelation of this risk, the availability of the possibility of using, the possibility of arbitration, the development of shadow banking under the given criteria of optimality.

To achieve the goal, the first step is to investigate the indicated phenomena of risk underestimation. After that the conclusion is made about the presence of these properties in the Russian banking system. The significance of their influence on the underestimation of credit risk is estimated. If the significance is recognized, the property is reflected in the agent-based model (ABM). The ABM is the basis for the used banking regulation regime in Russia.