Гришунин Сергей Вадимович

Developing a Scoring Credit Model Based on the Methodology of International Credit Rating Agencies

2023 · ARTICLE · en

The purpose of this work is to examine the relationship of various financial and non-financial (qualitative) factors of performance of non-financial companies and their credit ratings. We developed the scoring model which was based on the methodologies of international and Russian rating agencies. The modelled ratings of non-financial companies for 2018–2020 were compared with actual ratings assigned by the rating agencies and discrepancies were explained. The sample includes companies from retail, protein and agriculture, steel, oil and gas sectors from Russia, USA, Luxembourg, England, Canada, India, Ukraine and Brazil. The paper proved that addition of business and environmental, social and governance factors improved the quality ofscoring models in comparison to those including only financial metrics. There are strong patterns in the resulting ratings of companies for some industries. Retail industry companies are associated with high sales indicators, while steel industry companies have high interest expenses coverage ratios. Oil and gas industry companies mostly show high results in reserves coefficients. The study developed a credit rating forecasting tool that emulates the work of analysts of rating agencies and therefore has a high predictive power. The developed model can be used by financial market practitioners to predict the credit ratings of Russian companies in the face of the refusal of international rating agencies to rate Russian issuers.

Analysis of Yields and Their Determinants in the European Corporate Green Bond Market

2023 · ARTICLE · en

The green bond market helps to mobilize financial sources toward sustainable investments. Green bonds are similar to conventional bonds but are specifically designed to raise money to finance environmental projects. The feature of green bonds is the existence of greenium, or the lower yield compared to “conventional” bonds of the same risk. The relevance of the paper is underpinned by the mixed evidence on the existence of ‘greenium’, especially in corporate green bond markets; there has been limited research on the topic and a narrow focus on global, US, or Chinese green bond markets. Instead, the greenium in European debt markets remains underexplored. The objective of this study is to investigate the existence of greenium and its key determinants in European corporate debt capital markets, including the local markets of the United Kingdom (UK), France, Netherlands, and Germany. The sample included 3851 corporate bonds, both green and conventional ones, between 2007 and 2021 from 33 European countries. Linear regression was applied for the analysis. The results show that the climate corporate bonds in Europe are priced at a discount to the same-risk conventional corporate bonds. The magnitude of greenium is around 3 bps. Determinants of greenium include the presence of an ESG rating and belonging to the utility and financial industry. The remaining drivers of bond yields in the European corporate debt market are the credit quality (expressed by the level of credit rating), the coupon size, the bond tenor, the market liquidity, and macroeconomic variables (growth of gross domestic product and consumer price index). For the local corporate debt markets, our results are controversial. In all markets under consideration except for the UK and the Netherlands, we did not find sustainable evidence of greenium. The results of the research lead to a better understanding of the green bond market for investors, researchers, regulators, and potential issuing companies.

Is Climate Policy Effectiveness Important for Country’s Competitiveness Among EU Member States?

2023 · ARTICLE · en

This study examines the level of relationships between the competitiveness position of the EU countries and the climate and sustainable finance policy effectiveness. In this research we utilized panel data analysis, where the level and direction of connectedness between World Competitiveness Index (WCI) and climate policy effectiveness and green finance regulatory frameworks were empirically analyzed. It was found that the level of relationships between a country’s competitiveness index and level of climate policy regulations is positive and significant among the EU member states. Moreover, we are among the first who analyze the relationship between the level of a country’s competitiveness and green finance regulatory framework which represents the cornerstone for the implementation of the EU sustainability strategy. The paper and the empirical results provide solid grounds for the policymakers to continue developing the climate and sustainable finance regulatory ecosystem needed to achieve the Eurozone climate targets by 2030 and become fully climate neutral by 2050.

Экономика России под санкциями: от адаптации к устойчивому росту

2023 · BOOK · ru

Доклад посвящен анализу процесса адаптации российской экономики к санкционному режиму и возможностей для ее возвращения на траекторию роста. Исследование содержит краткий обзор санкций, введенных в течение года западными странами в сфере торговли, логистики, финансов и на других направлениях, и описание механизмов адаптации отдельных секторов экономики и государственной политики. В условиях растущих ограничений в российской экономике идет перестройка структуры внешней торговли и платежного баланса, товарных и финансовых потоков, развитие параллельного импорта. В промышленности разнонаправленная динамика отраслей связана с перестройкой бизнесом логистических цепочек, с освоением освободившихся ниш после ухода западных компаний. В финансовом секторе на фоне ухода нерезидентов и нарастания бюджетных ограничений идет расширение рынка внутренних заимствований, синдицированного кредитования и инструментов проектного финансирования. Возможности выхода на траекторию роста связаны как с дальнейшей подстройкой экономики через действие рыночных механизмов, так и со структурной политикой государства в отношении отраслей, столкнувшихся с ограничениями и находящихся на разных стадиях технологического развития. В новых условиях также усиливается значение инфраструктурной политики и сохранения человеческого капитала. Ключевой проблемой является поиск баланса между необходимыми реакциями на текущие вызовы и формированием траектории дальнейшего развития.

V Российский экономический конгресс «РЭК-2023». Том XV. Тематическая конференция «Банки, деньги и финансовые рынки» (сборник тезисов докладов)

2023 · BOOK · ru

Estimation of Impact of ESG Practices’ Performance and Their Disclosure on Company’s Value

2023 · CHAPTER · en

Recently businesses began to consider different initiatives of integrating ESG activities into business decision- making process. The key initiative is maintaining non-financial reporting and performance integration when aligning value creation activities with Sustainable Development Goals (SDG’s) and communicating to stakeholders. Particularly, this is true for ESG positioning of the company in the context of the ESG performance-disclosure dichotomy. The purpose of the paper is to understand what kind of ESG practices’ factors influence value of companies from oil & gas and industrials sectors of the economy in developed capital markets the most in ESG performance-disclosure dichotomy. Our sample consists of 5388 observations of oil & gas and industrials companies for the period from 2016 to 2021. The results showed that investors do not appreciate either performance or disclosure separately, but they look at the activity of the firm in complex. Therefore, the company should employ both practices in order to be sound ESG-responsible company in the eyes of the market. The conclusions of the study could be of interest to companies building an ESG strategy to increase investor loyalty and improve financial performance. As well as to potential investors to evaluate companies and build an investment strategy implementing non-financial factors into decision making process.

Analysis of Yields and Their Determinants in the European Corporate Green Bond Market

2023 · ARTICLE · en

The green bond market helps to mobilize financial sources toward sustainable investments. Green bonds are similar to conventional bonds but are specifically designed to raise money to finance environmental projects. The feature of green bonds is the existence of greenium, or the lower yield compared to “conventional” bonds of the same risk. The relevance of the paper is underpinned by the mixed evidence on the existence of ‘greenium’, especially in corporate green bond markets; there has been limited research on the topic and a narrow focus on global, US, or Chinese green bond markets. Instead, the greenium in European debt markets remains underexplored. The objective of this study is to investigate the existence of greenium and its key determinants in European corporate debt capital markets, including the local markets of the United Kingdom (UK), France, Netherlands, and Germany. The sample included 3851 corporate bonds, both green and conventional ones, between 2007 and 2021 from 33 European countries. Linear regression was applied for the analysis. The results show that the climate corporate bonds in Europe are priced at a discount to the same-risk conventional corporate bonds. The magnitude of greenium is around 3 bps. Determinants of greenium include the presence of an ESG rating and belonging to the utility and financial industry. The remaining drivers of bond yields in the European corporate debt market are the credit quality (expressed by the level of credit rating), the coupon size, the bond tenor, the market liquidity, and macroeconomic variables (growth of gross domestic product and consumer price index). For the local corporate debt markets, our results are controversial. In all markets under consideration except for the UK and the Netherlands, we did not find sustainable evidence of greenium. The results of the research lead to a better understanding of the green bond market for investors, researchers, regulators, and potential issuing companies.

Влияние человеческого капитала топ-менеджмента на эффективность адаптации российских IT-компаний к культуре отмены и структурному кризису

2023 · ARTICLE · ru

Начиная с марта 2022 г. российские компании сталкиваются со структурным кризисом, при этом больше всего пострадала IT-отрасль. В статье исследуется влияние качеств человеческого капитала (HC) высшего руководства отечественных IT-компаний на эффективность их адаптации к данному кризису. Научная новизна статьи обусловлена: 1) недостаточным количеством исследований по теме в условиях перманентных структурных кризисов; 2) исследованием качества человеческого капитала всей команды топ-менеджмента. Результаты показали, что повышение качества человеческого капитала топ-менеджеров умеренно и положительно повлияло на эффективность адаптации IT-компаний к кризису. Однако мы не обнаружили различий между степенью влияния на адаптацию человеческого капитала генерального директора (СЕO) и остальной части команды высших руководителей. Такие качества человеческого капитала руководителей, как: 1) молодой возраст; 2) вступление в долж- ность до кризиса; 3) опыт работы в международных компаниях; 4) опыт работы в IT-индустрии; и 5) открытость заинтересованным сторонам, в наибольшей степени способствовали адаптации к кризису.

Assessment of Impact of Economic Sustainability on Shareholder Return and Economic Profit of BRICS Industrial Companies Following Digital Transformation Strategy

2023 · ARTICLE · en

We investigated the impact of Economic Sustainability (ES) practices of digitally oriented industrial companies in BRICS (Brazil, Russia, India, China, and South Africa) in various horizons. The relevance is underpinned by numerous controversies in the literature on the topic. The sample included 257 industrial companies from BRICS in 2017-2021. Economic profit in the long-term and short-term was measured by Total Shareholder Return (TSR) and Economic Value Added (EVA), respectively. We found that the improvements in resource use, enhancements in the workforce and responsible product development had a positive and significant influence on the TSR of BRICS companies. Conversely, we discovered the negative impact of social practices on companies’ EVA. Firms from Brazil and India with stronger ESG practices provided higher returns for shareholders, while there was a significant and negative linkage between ES and EVA for Chinese firms. Cross-industry analysis showed that ESG practices had an additional positive and significant impact on the TSR of firms in the basic materials and technology sectors. However, there was an additional negative and significant impact of ES practices on EVA in consumer cyclical and energy sectors. The novelty is driven by (1) exploring the impact of ESG practices on companies’ value at BRICS; (2) considering previously overlooked metrics of TSR and EVA; and (3) applying granular ES metrics instead of aggregated ones.

Comparison of Forecasting Power of Statistical Models for GDP Growth Under Conditions of Permanent Crises for Application in Strategic Risk Controlling

2023 · CHAPTER · en

The study evaluates the effectiveness of combining different forecasting models to predict Russia's GDP growth rates for the upcoming quarter. The ensemble model utilized in this study consists of a dynamic factor model (DFM) and a neural network with long- and short-term memory (LSTM). The research compared the root-mean-squared errors (RMSE) of the ensemble model with other popular models such as ARIMA, VAR, SVR, and CatBoost, and found that the proposed ensemble model performed better than the LSTM and competitor models but did not improve upon the DFM forecasts. Additionally, the study identified key indicators with high predictive power for the Russian economy by analyzing the DFM eigenvectors and LSTM integrated gradient coefficients.