Retail loan pricing determinants in Russia-Reference-Cited by-同舟云学术

Retail loan pricing determinants in Russia

Published:2023-06-05 Issue:6 Volume: Page:36-61
ISSN:0042-8736
Container-title:Voprosy Ekonomiki
language:
Short-container-title:Vopr. èkon.

Author:

Penikas H. I.¹^ORCID

Affiliation:

1. Bank of Russia

Abstract

The research relies on the uniquely extracted dataset of loan offered rates at the start of 2022. We justify that the larger banks are more prone to disclose such offers. Content-wise we are able to disentangle the loan-specific credit risk factors and the bank risk-appetite drivers. We show that banks using own data and models to compute prudential ratios (IRB-banks) tend to evaluate the credit risk more conservatively than the rest of the banks.

Publisher

NP Voprosy Ekonomiki

Subject

Economics and Econometrics,Finance,General Economics, Econometrics and Finance,History

Reference49 articles.

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4. Ershov E. B. (2008). Rival regressions: Criteria and selection procedures. HSE Economic Journal, No. 4, pp. 488—511. (In Russian).

5. Penikas H. I. (2021). Premium for implicit deposit insurance with in Russian state banks. Voprosy Ekonomiki, No. 10, pp. 89—112. (In Russian). https://doi.org/10.32609/0042-8736-2021-10-89-112