2020. vol. 24. No. 1

We study the world largest credit risk losses from the year of 1972. We expect that such events drove the credit risk regulation development by the Basel Committee on Banking Supervision, including that of the Internal Ratings-Based (IRB) one of the Basel II Accord. By choosing a round threshold of current USD 100m equivalent of loss amount and the entity total assets in excess of current USD 500m as ofthe loss announcement date, we collected the dataset of 56 cases with the total credit loss of the current USD 700bn (or ca. 900 constant 2018 USD bn) which occurred during the last half of a century. We provide granular description of the stylized facts that characterize five typical credit risk evolution scenarios. The two most unexpected findings are as follows. First, we verified the announced loss amounts by analysis of stock quotes dynamics around the loss announcement dates. Thus we were able to trace three cases where announced by mass media losses may seem to have been exaggerated. Second, there is a series of events when there was a disclosure combination of credit risk loss and operational one. It is likely that the latter might have been used to partially cover the former.

The paper examines one of the conceptual issues of financial management – the question of the optimal ratio of the magnitude of the risk and the volume of profitability covering this risk. A parametric relationship is proposed and statistically confirmed between the yield spread of corporate bonds that have a greater credit risk than risk-free instruments and the default spread characterizing the measure of credit risk. The research topic is becoming particularly relevant for the Russian market at the moment, because as a result of the dynamic development in recent years of both the corporate bond market and the rating industry in Russia, has become available database of assigned ratings, historical data on the frequency of defaults of issuers and recovery rates RR, sufficient for conducting research. This made it possible to generate some statistics on the Russian market and to link the issuer rating level with the probability of default of PD, to give a quantitative risk assessment using one of the models of the Basel Recommendations. In the empirical part of the work, the maximum spread Gmax for this market is calculated, over which the investor risks more than covers the profitability spread. The optimal risk / return ratio is determined at the point of efficiency coefficient maximum K_ef.

The subject of this article is the tax regulation of crypto-assets as a new class of financial assets. The relevance of the topic is due to the growing use of crypto-assets in the financial systems around the world in the absence of a unified interpretation and regulation of digital assets in the monetary and tax spheres. The aim of the study is to identify economic and legal approaches to the interpretation of crypto-assets and to determine the features of taxation of crypto-assets in Australia, United Kingdom, Singapore, Switzerland the USA and Japan. The study revealed the features of direct and indirect taxation of crypto-assets in developed countries. The study used methods of comparative analysis and synthesis. We studied the tax consequences of typical crypto-assets transactions such as: mining crypto-assets; acquisition of crypto-assets; the use of crypto-assets for payments of goods, works and services; implementation of crypto-assets acquired for investment purposes and etc.

It is concluded that in the analyzed countries the interpretations of virtual currencies differ not only at the national level, but also at the level of regulatory authorities. The study did not establish correlation between taxation of crypto-assets and regulation of digital assets in the monetary systems . In most countries crypto-assets related incomes are taxable by corporate taxes and the burden of taxation is defined by domestic corporate taxation approach. At the same time in some countries the income of individuals is completely exempt from taxation. The authors concluded that tax incentives can help reduce speculative pressure and stimulate the wider use of crypto-assets by both institutional and private investors as a means of payment, means of savings and investment. The results of the study can be used by national regulatory authorities to create the optimal tax regime for crypto-assets transactions. The optimal tax regime for crypto-assets transactions should be aimed not maximizing budget revenues but the creation of favorable conditions for stimulating innovation in the field of digital assets both the national and international levels.

The article discusses the question of the financial constraints in Estonian dairy and crop farms in the transition period, and there are also identified the farms that have been mostly affected by these imperfections. For that, an investment accelerator model augmented with a cash flow variable was used. The empirical analysis is based on the unbalanced panel data containing 2263 dairy and 1762 crop farms in the period between 2000 and 2014. We have three periods of 5 years each: 2000–2004 (the pre-EU accession), 2005–2009 (being an EU member before the economic crisis), 2010–2014 (after the economic crisis). We used these periods to construct the fixed effect and random effect models for different types of farm: dairy and crop farms. In addition to the full sample estimate, we use farms characteristics to classify crop farms by area, and dairy farms by the average number of cows per year. The estimations of the standard augmented model obtained by different econometric methods for several subsamples have revealed a dissimilar level of the financial constraints. The obtained results clearly imply that the farm investment behavior is driven by the competitive output market conditions and the farm abilities to sell output and invest in such a market environment. Moreover, except for all farms farm the gross investment is positively and significantly associated with the cash flow, confirming for any farms the absence of the soft budget constraints for the farms. The results confirm that the financial variables significantly influence the farms’ investment subsidy, providing an empirical evidence of an imperfect capital market in the Estonian agriculture.

In this paper, we apply textual analysis to the hedonic pricing model in the residential real estate market of Moscow. We collect data on 60 thousand sale ads in July 2019 on the CIAN web-site (one of the largest web-sites on residential real estate market in Russia). A special parser program was written in Python to gather the data. The text analyzing algorithm developed by authors chooses words (unigrams) and phrases (bigrams) that are the most significant predictors of price. The advantage of this approach is that the selection of explanatory variables for the econometric model is based on the revealed preferences of market participants – the algorithm determines tokens indicated by apartment owners interested in a successful sale. Thus, we identify important subjective pricing factors in the Moscow real estate market. It is shown that the use of text analysis can significantly improve the predictable power of the pricing model. In particular, inclusion of unigrams reduces the standard error of estimation by 15%. The mechanism of this improvement is the inclusion of pricing factors that are difficult to quantify. For example, «water purification», «concierge guard», «club house», «video surveillance system» and similar bigrams reflect the safety, location type and other local public goods that are difficult to measure.

In Russia, sport historically belonged to the social sphere and only in recent years proved to have a commercial potential. Comparing with European countries, the sports industry of Russia should be recognized as emerging. The burden of financing professional sports clubs has not shifted to private investors and remains with regional budgets or state-owned companies. These funds are spent mainly on salaries of players (often legionnaires) and agents’ fees. Not earningon core business: media rights & match day, clubs lose their main part of earnings when the sponsor leaves, and are liquidated. The most popular sport in Russia (based on the number of people involved), and, consequently, the most promising from a commercial perspective, is football. Based on this, the aim of this research is to develop recommendations for improving the financial stability of football clubs as part of the licensing procedure. The current edition of the licensing rules for football clubs in England, Germany, France, Poland, Lithuania, Norway, Sweden and the scientific publications of domestic and foreign scientists dedicated to this issue acted as an analytical base. The paper provides a detailed analysis of the current level of football development in the Russian Federation, provides the main indicators characterizing its effectiveness, identifies problems and difficulties that impede positive dynamics. Based on this analysis and best European practices, the author proposed measures that will help to solve existing problems, attract private investors and increase the efficiency of spending budget funds. The proposed methods can be implemented in other team sports and accelerate development in terms of commercial potential, sports and social results.