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Модели «копула» в приложении к задачам финансов
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 provided. Finally the unresolved issues are presented that might well become the subjects of further research.
Karminsky A. M., Серякова Е. В., 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
Kokosh A., Проблемы анализа риска 2010 Т. 7 № 1 С. 28-37
World fi nancial crisis and increased volatility of major economic indicators raised attention to the problem of fi nancial risk management in corporations, and to the possibilities of fi nancial derivatives usage for hedging. In perfect markets hedging by means of derivatives allows corporations to mitigate fi nancial risks allowing for minimum costs. Current paper ...
Added: October 22, 2012
Malakhov D., Stankevich I., - 2016
We propose new GARCH model, which have two separate errors - negative and positive shocks, which are connected by copula. First estimation results showed, that this model, despite of very complicated routine of likelihood function maximizing, outperformed standard models. ...
Added: October 16, 2015
Kandaurov D., Финансовая аналитика: проблемы и решения 2014 № 36 С. 49-62
In the context of globalization and liberalization of financial markets, the mutual relations between the national stock markets become more relevant. Herewith decisions depend, and they were made regarding to the global diversification of the investment portfolio. The research aims to study the nature (asymmetries and powers) of the mutual relationships of the Russian stock ...
Added: October 22, 2014
Nazarova V., Актуальные вопросы современной науки 2011 № 20 С. 281-290
В статье подробно рассмотрен механизм хеджирования фьючерсными контрактами на фондовые индексы. Приведено сравнение спотового и срочного рынков. Даны рекомендации по формированию портфеля с использованием деривативов в условиях кризиса. Основной целью статьи является исследование рынка ценных бумаг и основ его функционирования в разрезе производных ценных бумаг на биржевые индексы, а также изучение методик хеджирования с помощью ...
Added: December 8, 2012
Penikas H. I., Andrievskaya I. K., 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
Ayvazyan S. A., Andrievskaya I. K., Penikas H. I. 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
Mariya T., 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
Penikas H. I., / Издательский дом ВШЭ. Series WP7 "Математические методы анализа решений в экономике, бизнесе и политике". 2012.
An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components. Several nice properties of copula application to time series are discussed. To identify the break copula structural shift test is applied. Data on quarterly GDP ...
Added: February 10, 2013
Merikas A., Merika A., Penikas H. I., 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
Ханьков И. О., Penikas H. I., / University of Pavia. Series DEM "Department of Economics and Management Working Paper Series". 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
Lakshina V. V., 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
Ацканов И. А., 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
СПб. : Европейский университет в Санкт-Петербурге, 2011
Сборник подготовлен на основе материалов, представленных на конференции «Современные подходы к исследованию и моделированию в экономике, финансах и бизнесе», организованной Европейским университетом в Санкт-Петербурге и Санкт-Петербургским экономико-математическим институтом РАН 15-16 апреля 2011 г. в Санкт-Петербурге. ...
Added: October 4, 2012
Akopov A. S., Аудит и финансовый анализ 2010 № 3 С. 310-317
In work the developed model of adaptive management by the vertically integrated companies based on the system approach supporting the mechanism of an operational management in a uniform cycle of strategic planning, within the limits of faster time is presented. Thus for a finding of optimum values of operating parameters special algorithms of a class ...
Added: September 28, 2012
Nazarova V., Карпова Д. А., Научный журнал НИУ ИТМО. Серия: Экономика и экологический менеджмент 2014 № (17) С. 415-435
Investments in real assets are one of the most important parts of company’s growth. As such, choosing projects company can afford to pay for becomes a serious problem. Investment project evaluation is the most important step in the process of decision-making. Long-term projects often have the biggest impact on company’s growth and require a lot ...
Added: January 3, 2015
Antipov E. A., Pokryshevskaya E. B., Journal of Targeting, Measurement and Analysis for Marketing 2010 Vol. 18 No. 2 P. 109-117
In this study a CHAID-based approach to detecting classification accuracy heterogeneity across segments of observations is proposed. This helps to solve some important problems, facing a model-builder: (1) How to automatically detect segments in which the model significantly underperforms? and (2) How to incorporate the knowledge about classification accuracy heterogeneity across segments to partition observations ...
Added: October 4, 2012
Peresetsky A., Karminsky A. M., Frontiers in Finance and Economics 2011 Vol. 1 No. 8 (1) P. 88-110
The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody's methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Financial Strength Ratings (BFSR), taking into account "external bank support factors" (joint-default analysis, JDA). Models for the (unobserved) external support are presented, and we ...
Added: October 4, 2012
Новиков А. И., Поляк И. В., Солодкая Т., Вестник Саратовского государственного социально-экономического университета 2010 № 4 (33) С. 116-119
The article describes the use of Excel programme for risk assessment models: method of sensitivity analysis, scenarios method, Monte-Carlo method.
long-term investment project, risk, method of sensitivity analysis, Scenario method, method of Monte Carlo simulation ...
Added: October 5, 2012
Ozhegov E. M., Ars Administrandi 2010 № 3 С. 47-54
In this paper was made a view over existing disadvantages of a legislative fixed regional departmental targeted socio-economical development programs efficiency estimation system, based on indicative indexes. To eliminate identified defects, the authors propose a new approach on an efficiency estimation system of economical segment programs design. An approach is based on principles of government ...
Added: November 23, 2012
Bezdudny M. A., Малахова Т. А., Сидельников Ю. В., Экономические стратегии 2010 № 11 С. 80-87
Авторы статьи подробно останавливаются на анализе практики применения стресс-тестирования в финансовой сфере, выявлении основных проблем в сфере методики стресс-тестирования и на этой основе выдвигают свои предложения по перспективным направлениям ее совершенствования. ...
Added: September 28, 2012
Svetunkov I., Прикладная эконометрика 2011 № 4 С. 85-99
Advantages and disadvantages of existing coefficient of determination and mean absolute percentage error are examined, and two new coefficients (the compliance coefficient and the balance coefficient) giving new information about the approximation properties of econometrics models, are proposed. ...
Added: September 20, 2012
Чебоксары : ИД «Среда», 2018
В коллективной монографии представлены результаты научно-исследовательских материалов известных и начинающих ученых, объединенные основной тематикой современного представления направлений развития науки и образования. ...
Added: April 1, 2019
Akopov A. S., Аудит и финансовый анализ 2011 № 5 С. 86-92
In this work is presented a new approach to the designing of intelligent systems of the control of the shareholder value for the vertical-integrated Financial Corporation (VIFK). Developed system based on using of system-dynamics methods for the simulation of the synergic interaction between different business directions of VIFK for the target of shareholder value maximization. ...
Added: September 20, 2012