Henry Penikas

Names

Identifer

Contact

Affiliations

• Central Bank of the Russian Federation
  • EDIRC entry
  • location:

Research profile

author of:

• Measuring climate-credit risk relationship using world input-output tables (RePEc:arh:jrujec:v:9:y:2023:i:1:p:93-108)
  by Henry I. Penikas & Ekaterina E. Vasilyeva
• Copula-Based Univariate Time Series Structural Shift Identification Test (RePEc:arx:papers:1609.05056)
  by Henry Penikas
• Low Default Portfolios in Basel II and Basel III as a Special Case of Significantly Unbalanced Classes in Binary Choice Models (RePEc:bkr:journl:v:79:y:2020:i:2:p:101-128)
  by Henry Penikas
• Probability of Default Model to Estimate Ex Ante Credit Risk (RePEc:bkr:journl:v:80:y:2021:i:3:p:49-72)
  by Anna Burova & Henry Penikas & Svetlana Popova
• Review of Bank of Russia – NES Workshop ‘Identification and Measurement of Macroprudential Policies Effects’ (RePEc:bkr:journl:v:80:y:2021:i:3:p:94-104)
  by Henry Penikas
• Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022 (RePEc:bkr:journl:v:81:y:2022:i:2:p:20-48)
  by Henry Penikas
• The Interrelationship of Credit and Climate Risks (RePEc:bkr:wpaper:wps100)
  by Henry Penikas
• IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights (RePEc:bkr:wpaper:wps56)
  by Henry Penikas
• Macroprudential Policy Efficiency: Assessment for the Uncollateralized Consumer Loans in Russia (RePEc:bkr:wpaper:wps62)
  by Irina Kozlovtceva & Henry Penikas & Ekaterina Petreneva & Yulia Ushakova
• Probability of Default (PD) Model to Estimate Ex Ante Credit Risk (RePEc:bkr:wpaper:wps66)
  by Anna Burova & Henry Penikas & Svetlana Popova
• How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily? (RePEc:bkr:wpaper:wps74)
  by Henry Penikas & Anastasia Skarednova & Mikhail Surkov
• Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models (RePEc:bkr:wpaper:wps92)
  by Henry Penikas
• Macroprudential policy efficiency in Russia: Assessment for the uncollateralized consumer loans (RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000279)
  by Kozlovtceva, Irina & Penikas, Henry & Petreneva, Ekaterina & Ushakova, Yulia
• The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks (RePEc:eee:joecas:v:22:y:2020:i:c:s170349492030030x)
  by Merikas, Andreas & Merika, Anna & Penikas, Henry I. & Surkov, Mikhail A.
• Key rate pass-through to deposit rates: experience from the pandemic era (RePEc:elg:eechap:20452_34)
  by Henry Penikas
• History of the World Largest Credit Risk Losses in 1972–2018 (RePEc:hig:ecohse:2020:1:1)
  by Henry Penikas
• Modeling Policy Response to Global Systemically Important Banks Regulation (RePEc:hig:wpaper:02/fe/2012)
  by Henry Penikas & Yulia Titova
• An Optimal Incentive Contract Preventing Excessive Risk-Taking by a Bank Manager (RePEc:hig:wpaper:03/fe/2012)
  by Henry Penikas
• A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries (RePEc:hig:wpaper:04/fe/2012)
  by Fuad Aleskerov & Azamat Keskinbaev & Henry Penikas
• Copula structural shift identification (RePEc:hig:wpaper:05/fe/2012)
  by Boris Brodsky & Henry Penikas & Irina Safaryan
• Do Hedging and Trading Derivatives Have the Same Impact on Public European Banks' Value and Share Performance? (RePEc:hig:wpaper:09/fe/2012)
  by Nikita Gomayun & Henry Penikas & Yulia Titova
• Does banking regulation cause counterproductive economic dynamics? (RePEc:hig:wpaper:15/fe/2013)
  by Henry Penikas & Travis Selmier
• How Well do Analysts Predict Stock Prices? Evidence from Russia (RePEc:hig:wpaper:18/fe/2013)
  by Henry Penikas & Proskurin S.
• The Decision-Making Process in Punishment Imposition: Four Factors of Public Perception in Russia (RePEc:hig:wpaper:56/law/2015)
  by Zinaida M. Pogosova & M Nizhnik & Henry Penikas
• Modeling Integral Financial Stability Index: A Cross-Country Study (RePEc:hig:wpaper:75/ec/2014)
  by Vadim Arzamasov & Henry Penikas
• An empirical analysis of growth and consolidation in banking: a Markovian approach for the case of Russia (RePEc:ids:ijcome:v:4:y:2014:i:1/2:p:112-129)
  by Henry Penikas & Anastasia Petrova
• Stress-testing and credit risk revisited: a shipping sector application (RePEc:ids:injbaf:v:12:y:2021:i:4:p:347-367)
  by Anna Merika & Ioannis Negkakis & Henry Penikas
• Financial Applications of Copula-Models (RePEc:nea:journl:y:2010:i:7:p:24-44)
  by Penikas, H.
• Premium for implicit deposit insurance within Russian state banks (RePEc:nos:voprec:y:2021:id:3259)
  by H. I. Penikas
• Retail loan pricing determinants in Russia (RePEc:nos:voprec:y:2023:id:3930)
  by H. I. Penikas
• IRB PD model accuracy validation in the presence of default correlation: a twin confidence interval approach (RePEc:pal:risman:v:23:y:2021:i:4:d:10.1057_s41283-021-00079-2)
  by Dmitriy Borzykh & Henry Penikas
• IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights (RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00109-7)
  by Henry Penikas
• Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia (RePEc:pav:demwpp:085)
  by Maiya Anokhina & Henry Penikas & Victor Petrov
• Modelling Probability of Default of Russian Banks and Companies Using Copula Models (RePEc:pav:demwpp:demwp0113)
  by Ilya Khankov & Henry Penikas
• History of the World Largest Financial Losses in 1972-2018 (RePEc:pav:demwpp:demwp0166)
  by Henry I. Penikas & Mikhail A. Surkov
• QAIDS Model Based on Russian Pseudo - Panel Data: Impact of 1998 and 2008 Crises (RePEc:pra:mprapa:82876)
  by Ermolova, Maria D. & Penikas, Henry I.
• Forecasting for the Bank's Asset-Liability Management (RePEc:ris:apltrx:0022)
  by Penikas, Henry
• Interest Rate Risk Management Based on Copula-GARCH Models (RePEc:ris:apltrx:0026)
  by Penikas, Henry & Simakova, Varvara
• Detection of Structural Breaks in Copula Models (RePEc:ris:apltrx:0038)
  by Brodsky, Boris & Penikas, Henry & Safaryan, Irina
• Copula-Models in Foreign Exchange Risk-Management of a Bank (RePEc:ris:apltrx:0045)
  by Penikas, Henry
• Copula-Based Price Risk Hedging Models (RePEc:ris:apltrx:0070)
  by Penikas, Henry
• Researching and forecasting aggregated consumers’ perception of imported food: Russia and Brazil case studies (1992–2020) (RePEc:ris:apltrx:0223)
  by Penikas, Henry & Savelyeva, Alina
• Investment portfolio risk modelling based on hierarchical copulas (RePEc:ris:apltrx:0242)
  by Penikas, Henry
• Modeling Risk Patterns of Russian Systemically Important Financial Institutions (RePEc:rse:wpaper:v:1:y:2011:i:1:p:70-80)
  by Henry Penikas & Irina Andrievskayaa & Richard Connolly & Sergey Aivazian
• The impact of hedging and trading derivatives on value, performance and risk of European banks (RePEc:spr:empeco:v:58:y:2020:i:2:d:10.1007_s00181-018-1545-1)
  by Yulia Titova & Henry Penikas & Nikita Gomayun
• Money multiplier under Basel capital ratio regulation: implications for counter-COVID-19 stimulus (RePEc:taf:jsustf:v:13:y:2023:i:1:p:431-449)
  by Henry Penikas
• Determinants of the probability of default: the case of the internationally listed shipping corporations (RePEc:taf:marpmg:v:44:y:2017:i:7:p:837-858)
  by Agata Lozinskaia & Andreas Merikas & Anna Merika & Henry Penikas
• Agent-based model of the Russian banking system: Calibration for maturity, interest rate spread, credit risk, and capital regulation (RePEc:taf:tjsmxx:v:15:y:2021:i:1-2:p:82-92)
  by Maria Ermolova & Andrey Leonidov & Vladimir Nechitailo & Henry Penikas & Nikolay Pilnik & Ekaterina Serebryannikova
• How Do Investors Prefer for Banks to Transition to Basel Internal Models: Mandatorily or Voluntarily? (RePEc:wsi:qjfxxx:v:13:y:2023:i:02:n:s2010139223400025)
  by Henry Penikas & Anastasia Skarednova & Mikhail Surkov