Ihor Voloshyn

University of Banking of National Bank of Ukraine

PhD

Kyiv

Ukraine

http://www.ubs.gov.ua/

SCHOLARLY PAPERS

24

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Top 32,436

in Total Papers Downloads

1,949

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (24)

1.

Usage of Moody's KMV Model to Estimate a Credit Limit for a Firm

Number of pages: 9 Posted: 22 Jan 2015
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 548 (64,725)

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structural model, Moody’s KMV model, probability of default, level of confidence, credit limit, unsecured loan, asset portfolio, balance sheet, bankruptcy, overlending

2.

Integrated Risk Management in a Commercial Market-Maker Bank Using the 'Cash Flow at Risk' Approach

Number of pages: 18 Posted: 23 Jan 2013 Last Revised: 12 Nov 2013
Ihor Voloshyn and Mykyta Voloshyn
University of Banking of National Bank of Ukraine and National Technical University of Ukraine
Downloads 273 (143,462)
Citation 2

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integrated risk management, cash flow at risk, economical capital, pricing, interest rate, spread, credit risk, market risk, operational risk, liquidity risk

3.

Pricing on Amortizing Loan that is Based on 'Cash Flow at Risk' Approach

Number of pages: 11 Posted: 23 Oct 2013 Last Revised: 21 Jan 2014
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 125 (285,787)

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credit risk, pricing, loan, probability of default, loss given default, cash flow at risk, liquidity premium, credit premium, expected losses, risk-adjusted return on capital (RAROC), present value, liquidity risk

4.

Direct Estimating Price of a Defaultable Zero-Coupon Bond Using Conception of Continuous Coupon Bond

Number of pages: 10 Posted: 08 Sep 2014
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 113 (307,189)
Citation 1

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price, present value, cash flow, discount factor, coupon bond, zero-coupon bond, coupon accrual, coupon rate, default, continuous-time model, implied survival probability, recovery rate, credit spread, credit risk, Ukrainian Eurobond

5.

Dynamic Pricing on Retail Term Deposits of a Bank

Number of pages: 13 Posted: 23 Oct 2013 Last Revised: 12 Nov 2013
Ihor Voloshyn and Mykyta Voloshyn
University of Banking of National Bank of Ukraine and National Technical University of Ukraine
Downloads 107 (319,016)

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dynamic pricing, retail, term deposit, automatic control, interest expense, net interest income, optimal interest rate, optimization, variational method

6.

Risk-Adjusted Pricing of Bank's Assets Based on Cash Flow Matching Matrix

ACRN Journal of Finance and Risk Perspectives, Vol. 2, Issue 2, p. 49 - 59, Dec. 2013, ISSN 2305-7394
Number of pages: 11 Posted: 08 Sep 2014
Ihor Voloshyn and Mykyta Voloshyn
University of Banking of National Bank of Ukraine and National Technical University of Ukraine
Downloads 93 (349,504)

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asset pricing, funding matrix, economic capital, cash flow at risk, risk-adjusted return on capital (RAROC), cash flow matching, interest rate, asset, liability

7.

Credit Risk Management in a Bank Under a Rapid Growth - Part 1: A Dynamic Model for Loan Impairment Provisioning

Number of pages: 9 Posted: 07 May 2014
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 74 (400,521)
Citation 1

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dynamic model, bank, balance sheet, risk management, loan, deposit, credit risk, provisions for impairment, interest rate, operating expenses, return on equity (ROE), capital, liquidity, growth rate

8.

Modeling Maturity Structure of Banking Retail Deposits Rolled Over

Banking (Ukraine), 2012, No. 5 (95)
Number of pages: 11 Posted: 22 Dec 2013 Last Revised: 28 Dec 2013
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 70 (412,793)

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retail deposit, individual deposit, deposit supply, banking, utility function, maturity structure, interest expense, yield curve, rolled over deposit, deposit portfolio, multinomial logit regression, Boltzmann distribution, Gibbs distribution, discrete choice, customer property, interest rate, SAS/E

9.

Direct Extracting the Forward Yield Curve from the Coupon Bond Prices

Number of pages: 11 Posted: 23 Sep 2014 Last Revised: 26 May 2015
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 66 (426,001)

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price, future value, present value, coupon bond, zero-coupon bond, yield curve, forward interest rate, spot interest rate, discount factor, continuously compounded factor, no-arbitrage, cash flow

10.

A Detailed Analysis of Fulfilling and Delinquency of Payments on a Loan

Number of pages: 15 Posted: 23 Jan 2015
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 51 (481,249)

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loan, payment, delinquency, default, cash flow, present value, interest rate, credit spread, credit risk, liquidity risk, Markov chain, soft collection

11.

How to Treat Interest Losses in Estimation of Credit Risk Spread

Number of pages: 10 Posted: 05 Aug 2014
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 46 (502,590)

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credit spread, credit risk, cumulative probability of default, risk-free interest rate, bullet loan, future value, loan pricing, transition matrix, credit rating, rating migration, maturity, term structure, accrual, interest losses, principal losses

12.

A Stock Flow Consistent Model of a Closed Economy with Defaults of Firms

Number of pages: 15 Posted: 28 Jan 2017
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 45 (506,952)

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closed economy, stock flow consistent framework, probability of default, fire sales, write-offs, recovery, monetary theory of production, households, banks, firms, inventory, borrowing, depositing, wage, net wealth, markup, credit risk, consumption

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bank, time deposit, retail, balance, credit turnover, debit turnover, term to maturity, rollover rate, dynamics, money conservation law, liquidity, early warning indicator, Basel iii, asset liability management (ALM), Volterra integral equation, Laplace transform

14.

Some Definitions of Deposit Risk for a Financial Institution

Number of pages: 4 Posted: 29 Jan 2015
Ihor Voloshyn and Mykyta Voloshyn
University of Banking of National Bank of Ukraine and National Technical University of Ukraine
Downloads 38 (540,122)

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deposit risk, early withdrawal risk, early redemption risk, rollover risk, liquidity risk, run risk, bank, time deposit, non-maturity deposits, cash flow at risk, exposure to risk

15.

Dynamics of Interest Cash Flows From a Bank’s Loan Portfolio with Continuously Distributed Maturities

Number of pages: 13 Posted: 01 Jul 2014 Last Revised: 04 Aug 2014
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 38 (540,122)

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bullet loan, fixed rate loan, loan portfolio, principal cash flow, interest cash flow, interest accrual, sensitivity of interest cash flows, yield curve, Nelson-Siegel model, sudden stepwise change, interest rate risk, continuous-time model, differential advective equation

16.

Some Issues of Bank Lending to Resident Borrowers in Foreign Currency: Ukrainian Scenario

Number of pages: 9 Posted: 08 Jan 2016
Ihor Voloshyn and Mykyta Voloshyn
University of Banking of National Bank of Ukraine and National Technical University of Ukraine
Downloads 33 (566,448)

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bank, lending, loan, mortgage, borrower, credit risk, open currency position, currency risk, domestic currency, foreign currency, interest rate, devaluation, double-entry rule, accounting standards

17.

Credit Risk Management in a Bank Under a Rapid Growth Part 2: Behavior of Actual Ability of a Bank to Make Provisions and Calculation Results

Number of pages: 11 Posted: 23 May 2014
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 32 (571,892)

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dynamic model, bank, risk management, loan, deposit, credit risk, provisions for impairment, return on equity (ROE), liquidity, profit, growth rate

18.

Note: How Much Money Does the Deposit Guarantee Fund Need?

Number of pages: 4 Posted: 06 Aug 2015
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 31 (577,511)

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guaranteed deposits, bank, Deposit Guarantee Fund, value at credit risk, share of deposits at credit risk, premium, default, deposit insurance

19.

Oscillatory Regimes of Attraction of Banking Retail Term Deposits

Number of pages: 12 Posted: 05 Mar 2015
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 27 (601,671)

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retail term deposit, bank, balance, credit turnover, debit turnover, term to maturity, maturity profile, depositing regime, oscillation, Volterra sum-difference equation, discrete-time model, asset and liability management

20.

Impact of Maturity Distribution on Dynamics of Bank's Term Deposits

Number of pages: 13 Posted: 10 Sep 2015
Ihor Voloshyn and Anatoliy Voronin
University of Banking of National Bank of Ukraine and Kharkiv National University of Economics
Downloads 24 (621,695)

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retail term deposit, bank, balance, credit turnover, debit turnover, term to maturity, Volterra integral equation, Erlang distribution

21.

What’s Wrong With Modern Credit Risk Management?

Number of pages: 10 Posted: 04 Jun 2020
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 22 (635,596)

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Allowance, Bank, Borrower, Provision, Credit Risk, Bankruptcy, Default, Premium, Insurance, Expected Losses, Unexpected Losses, Collateral

22.

A Model of a Small Open Emerging Economy with Full Consumption of Manufactured Products (Stock-Flow Consistent Approach)

Number of pages: 12 Posted: 01 Aug 2016
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 19 (656,959)
Citation 1

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open economy, exchange rate, export, import, monetary production theory, transactions-flow matrix, stock flow consistent approach

23.

An Equation of Exchange Taking into Account Different Periods of Production-Sale Cycles of Goods

Number of pages: 10 Posted: 15 Feb 2016
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 18 (664,121)

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equation of exchange, money in circulation, velocity of money, production-sale cycle, production costs, sale revenues, gross domestic product (GDP), demand for money

24.

Some Unusual Consequences Arising from the Alternative Money Theories

Number of pages: 7 Posted: 19 Dec 2016
Ihor Voloshyn
University of Banking of National Bank of Ukraine
Downloads 17 (671,305)

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