Template-type: ReDIF-Article 1.0
Author-Name: Evgeny Danilov
Author-Email: danilovee@cbr.ru
Author-Workplace-Name: Bank of Russia
Title: Impact of Market Changes and Regulatory Measures on Accuracy of Bond Valuation in Portfolios of Russian Credit Institutions
Abstract: This paper uses conditional discrete information entropy to study of how changes in the market and the regulatory measures modifying the procedure for reporting the fair value of securities in financial statements affect the accuracy of bond valuation in the portfolios of Russian credit institutions. It considers the degree of price dispersion in the period from April 2018 to March 2023. The estimated measure of uncertainty in pricing gives a numerical description of the consensus of the banking sector regarding the value of debt securities. The results obtained allow the conclusion that Russian credit institutions follow the international financial reporting standards and tend to value their bond portfolios according to the market value, instead of taking advantage of regulatory relief. At the same time, changes in the market itself due to the recent sanctions pressure have led to increased uncertainty and a decrease in the concentration of valuations.
Classification-JEL: C02, C13, G12, G14, G18 
Keywords: entropy, information theory, probability density, uncertainty measure, pricing, securities
Journal: Russian Journal of Money and Finance
Pages: 108-125
Volume: 82
Issue: 4
Year: 2023
Month: December
DOI:
File-URL: https://rjmf.econs.online/upload/iblock/5b4/ax5u5t3qodm6o5xh1yac8voa1xfeci79/Impact-Regulatory-Measures-Bond-Valuation.pdf
Handle: RePEc:bkr:journl:v:82:y:2023:i:4:p:108-125