Иерархические копулы в моделировании рисков инвестиционного портфеля
Applied Econometrics. 2014. Т. 35. № 3. С. 18-38.
Paper is devoted to comparison of various copula models application to investment portfolio risk measurement. Elliptical, Archimedean and hierarchical copulas are considered in the research. The analysis undertaken has shown that hierarchical Clayton model enables to evaluate investment portfolio risks more precisely given the criteria of risk measures such as expected shortfall (ES) and Value-at-Risk (VaR). Statistically justified approach to hierarchical copula definition is also proposed.
, , et al., Review of Applied Socio-Economic Research 2011 Vol. 1 No. 1 P. 70-80
The world financial crisis of 2008-2009 has shown that the existence of systemically important financial institutions (SIFIs) poses serious policy challenges to both developed and developing economies’ authorities. As for now there are different approaches to identifying SIFIs focused on contagion, concentration, correlation and conditions effects. The paper aims at testing a new approach to ...
Added: November 3, 2013
Copula-Application To Modelling Russian Banking System Capital Adequacy According to Basel II IRB-Approach
, , Model Assisted Statistics and Applications 2012 Vol. 7 No. 4 P. 267-280
According to the strategy of the banking system development until 2015, the Central Bank of Russia is going to implement Basel II Internal-Ratings-Based (IRB) approaches in 2015, while Basel III is planned to be introduced in full starting from 2019. Taking into account the effects of the Basel II regulation during the crisis 2008-2009, in ...
Added: November 6, 2012
, , Вестник МГИМО Университета 2015 № 4 (43) С. 53-63
Amid instability of financial markets and macroeconomic situation the necessity of improvingbank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing belongs to such instruments. The paper reviews and compares the models of market risk stress–testing of the portfolio ...
Added: October 25, 2015
, Вестник Российской академии естественных наук 2014 Т. 1 № 18 С. 59-63
We introduce a concept of risk elimination in nonfinancial companies. Principles of functioning of the risk elimination systems are stated and criteria of effectiveness of the key processes of corporate risks neutralization are given. ...
Added: March 16, 2015
, , Банковское дело 2015 № 7 С. 72-81
Bank of Russia instruction No. 154-I requests to develop remuneration system for bank employees that take and control risks, particularly paying attention to defining variable and deferred parts of remuneration. This paper addresses the first issue to define veariable part of remuneration. Paper offers optimal incentive contract for agents that differ by risk-perception considering the ...
Added: July 5, 2015
Принципы и перспективы конструирования структурных корзинных нот на кредитный риск российских эмитентов
, Финансы и бизнес 2021 Т. 17 № 1 С. 52-76
Nowadays there are few researches which investigate the pricing methods for structured products which depend on several underlying assets and no researches devoted to this topic in the case of Russian market. The aim of this article is to estimate fair value of first-to-default structured notes based on Russian issuers CDS and to conclude is ...
Added: October 20, 2020
, , Управленческий учет 2015 № 9 С. 19-29
The article offers the author's method of analysis and evaluation of legal risks in a commercial organization. Contains the definition of legal risk, offers their classification. This paper proposes a mechanism for calculating the valuation of legal risks, as well as the interrelation of legal risks and financial condition of the commercial organization. ...
Added: October 1, 2015
, Искусственный интеллект и принятие решений 2015 № 2 С. 60-74
Приводится аналитический обзор числовых характеристик (мер) риска, применяемых в качестве критериев для оценки вариантов выбора в задачах принятия решений. Особое внимание уделяется среднему полуотклонению. ...
Added: July 10, 2015
, Известия Санкт-Петербургского государственного экономического университета 2015 № 5 С. 72-77
In the article analysis of metrics for risk assessment in non-financial companies. Indentified key determinants of cost metrics RiskMetrics, CorporateMetrics and Stress-testing. The methodical aspects of development in risk assessment using simulation (Monte-Carlo). ...
Added: March 12, 2016
Определение надзорными органами финансовой устойчивости негосударственных пенсионных фондов, основанное на оценке риска
, Финансы и кредит 2012 № 28 (508) С. 53-61
В статье отмечается, что изменение демографической ситуации во многих странах мира привело к развитию накопительной пенсионной системы и негосударственных пенсионных фондов (НПФ). Вопросы финансовой устойчивости НПФ имеют особое значение для регулирующих органов, так как фонды определяют доход своих клиентов в пожилом возрасте. Проводится анализ и сопоставление методов определения финансовой устойчивости надзорными органами в четырех странах. ...
Added: November 27, 2012
, Морской вестник 2013 № 1(10) С. 120-123
Identified: the conceptual basis for the development and implementation of enterprise risk management in the shipbuilding industry. Comparative analysis of the systems of integrated risk management in the shipbuilding company. Recommendations on the implementation of ISO 31000:2009 at the enterprises of the industry. ...
Added: March 9, 2014
, , , Procedia Computer Science 2014 Vol. 31 P. 115-123
This paper aims to present an alternative paradigm of financial risk to mitigate future financial crises. We argue that risk is not simply a feature of a financial product but a good in and of itself. Examining financial risk, we argue that it is most accurately typed as a common pool (particularly systemic risk) and so ...
Added: July 3, 2014
, , СПб.: Издательство СЗИУ РАНХиГС, 2013
The tutorial discusses the practical computer analysis in the solution of problems in financial management topics . Included guidelines for the quantitative description of the planning system in financial management. An overview of key categories and provisions for asset management and capital. Revealed theoretical issues related to investment management . The material in this manual ...
Added: March 9, 2013
, , , Procedia Computer Science 2013 Vol. 17 P. 1125-1133
The paper is the first to the knowledge of the authors to apply copula models to reconstructing joint distribution of time charter rates for dry bulk ship. Based on the Clarksons dataset for the last 20 years it is claimed that Gumbel copula is enough to perform the mentioned objective. To arrive at the conclusion ...
Added: June 11, 2013
, Экономический журнал Высшей школы экономики 2016 Т. 20 № 1 С. 156-174
This paper studies the problem of calculation the dynamic hedge ratio for the portfolio consisted of two assets. Commonly it’s solved assuming that the investor’s risk aversion is infinite. Then the optimal hedge coefficient is equal to ratio of covariance of the hedged and hedging assets to the variance of the latter. It’s natural to ...
Added: October 15, 2015
, , Modelling Probability of Default of Russian Banks and Companies Using Copula Models / . 2015. No. 113.
Research is devoted to examination of the classifier, based on copula discriminant analysis (CODA). Performance of the classification of this algorithm was assessed. On samples, modelled with some typical features of corporate default data, sensitivity of the classifier was tested, to sample size, to default rate and to different patterns of variables’ interdependence. Alternative copula ...
Added: January 11, 2016
, Вестник Российской академии естественных наук 2013 № 4(17) С. 43-51
We assess the current level of risk management in Russian companies and determine key trends of risk management development. Problems and factors of risk management development in Russia are described. The evolution of comcepts of corporate risk management is researched. We analyze the theory of risk taking into consideration the new paradigms of technological structures ...
Added: March 9, 2014
, Известия Санкт-Петербургского государственного экономического университета 2015 № 6 С. 33-40
The article presents the analysis of the measures of risk non-financial company. Identified key risk metrics. If justified the use of EVaR models. Developed methodical recommendations on the use of EVaR in stress-testing company. ...
Added: March 12, 2016
, Журнал Новой экономической ассоциации 2010 № 7 С. 24-44
The paper aims at introducing copula-models' concepts and its application to solving such financials programs as risk measurement, risk hedging, portfolio optimization, derivatives pricing and duration models evaluation. For the purpose the copula definition is firstly introduced. Then different copula families, model estimation and inference techniques are discussed. A detailed review of relevant literature is ...
Added: November 6, 2012
Проектирование оптимальной системы финансового регулирования рисков: опыт регулирования дорожного движения (Часть 2)
, Управление финансовыми рисками 2017 Т. 49 № 1 С. 2-16
Статья посвящена проектированию банковского регулирования, основанному на сравнении банков с транспортными потоками. Предложенные автором аналогии позволяют экстраполировать решения задач по управлению транспортными потоками на область регулирования финансовых рисков. В работе обосновывается, что финансовой стабильности можно достичь только при минимизации регулирования, а не его ужесточении. ...
Added: January 28, 2017
, Вестник Российской академии естественных наук 2013 № 4 С. 149-156
We research the problem of risk diagnostics at a ship-building company. The procedures os classification, identification, mapping and cataloguing risks are considered. An algorithm of risk diagnostics considering specific features of a ship-building company is offered. ...
Added: March 9, 2014
, , Экономическая социология 2016 Т. 17 № 2 С. 50-81
The article treats quantitative finance sociologically. It is argued that although mathematical modeling dramatically changed the nature of modern finance, it did not eliminate sociality from financial markets. However, the traditional sociological approach to markets, with its focus on personal social ties and networks, should be transformed as well. Anonymous financial models have not replaced ...
Added: April 10, 2016
, , , Risk as a good / Indiana University. Series "Addressing the Complexities of Property Rights in Financial Markets". 2013. No. W13–11.
The recent financial crisis has once again shown us that our knowledge of the financial sphere is insufficient to manage, let alone control, these types of crises. The concept of risk is a crucial pillar in that sphere, and this paper aims to present an alternative paradigm of risk to mitigate future financial crises. Our ...
Added: May 24, 2013
Динамическая оптимизация инвестиционного портфеля с использованием парных копул на примере основных фондовых рынков Европы
, Прикладная эконометрика 2015 Т. 4 № 40 С. 84-105
This paper proposes a procedure for dynamic optimization of an investment portfolio, consisting of stock market indices. SJC-copulas were used to assets statistical characteristics of assets. Copulas allow to measure interdependence between financial instruments, and to build an efficient investment portfolio. Since statistical characteristics of assets are changing with time, the structure of the portfolio ...
Added: February 3, 2016