• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
Advanced search
Priority areas
by year
Subject

News

23 April 2019

Russian Blue Chips Prove Their Pricing Potential

Researchers from HSE University and London Business School have carried out research into the dynamics of the prices for Russian companies’ stocks and depositary receipts. The research indicates that, thanks to their price differences, there are opportunities for profitable trading with zero or, at least, minimum risk.

19 April 2019

Can Peripheral Regions Become Popular Tourist Destinations?

What constitutes a country’s geographic core and periphery? Can a periphery turn into a core? What is the role of tourism in regional development? These questions were addressed in the presentation made by David Weaver (Dongbei University of Finance & Economics, China) at the Tourism and Hospitality session of the XX April International Conference held in Moscow last week.

19 April 2019

HSE Opens Laboratory of Financial Data Analysis

The unit will focus on applying machine learning methods to financial services. The laboratory is part of the Centre of Deep Learning and Bayesian Methods and another partner project between Sberbank and HSE’s Faculty of Computer Science.

Working paper

Определение маржинальных требований при централизованном клиринге сделок кредитного дефолтного свопа

Финансовая инженерия, риск-менеджмент и актуарная наука. WP16. Высшая школа экономики, 2012. № 01.
Курбангалеев М. З.
This paper discusses the major requirements to margin requirements systems in the credit default swap market. It also presents the approach to initial margin calculation which is consistent with the majority of documented requirements. The approach is based on application of structural models of credit risk and uses information on a reference entity’s stocks. Finally, the performance of presented approach is tested by its application to the initial margin setting for the Gazprom CDS.
Research target: Economics and Management (including Public Administration)
Priority areas: economics
Language: Russian
 Full text (PDF, 1.50 Mb)
Keywords: Credit default swapscentral counterpartymargin requirementsrisk exposurestochastic volatility modelstructural models of credit risk
Similar publications
Modelling CDS price dynamics for determination of margin requirements
Kurbangaleev M. Z. Информационные системы и математические методы в экономике (электронный научный журнал). 2012. No. 3. P. 121-127.

This paper reviews difficulties concerning a development of single-name CDS price (spread) dynamics model for the purpose of determination of margin requirements. It also discusses a possibility to construct such a model using information about respective equity prices and option implied volatilities. Finally, it presents the basic step towards the former idea demonstrating results for the CDS written on Gazprom senior debt.

Added: Jul 18, 2012
Экономика и управление: проблемы и перспективы развития. Сборник научных статей по итогам международной научно-практической конференции г.Волгоград 15-16 ноября 2010 г.
Ч. 1. Волгоград: Волгоградское научное издательство, 2010.
Added: Jan 18, 2013
Экономическая активность населения России в 1990-е гг.
Гимпельсон В. Е. Проблемы рынка труда. WP3. Высшая школа экономики, 2002. № 01.
Added: Mar 26, 2013
Stochastic approach to integrated modeling of credit and interest rate risk
Andreev N. A., Lapshin V. A. Информационные системы и математические методы в экономике (электронный научный журнал). 2012. No. 3. P. 56-61.

The paper presents a review of stochastic framework for term structure modeling and shows comparative advantages of commonly used techniques. The main application of the research is coherent modeling of credit and interest rate risk for Euro zone issuers.

Added: Jul 24, 2012
Study of Consistency of Bond and CDS Quotes
Kurbangaleev M. Z., Lapshin V. A., Smirnov S. N. Financial Economics. FE. Высшая школа экономики, 2015. No. 43.
In this paper, we study the consistency of bonds and CDS quotes data within a widely accepted credit risk pricing framework, allowing for non-trivial term structures of risk-free interest rates and default intensities. We propose an approach to test this consistency and a procedure to deal with inconsistencies. Our approach is model-independent and does not rely on any term structure fitting method. It also allows us to assess the precision of constructing risk-free yield term structure can be estimated for a given bond and CDS quotes set. We apply the proposed approach to euro zone sovereign bond and CDS data, and demonstrate that, in general, bond/CDS quotes are typically inconsistent across issuers and require filtration. However, our findings suggest grouping the euro zone sovereign issuers according to the group-level internal consistency.
Added: Apr 2, 2015
Обновляемый образовательный ресурс "Экономическая школа НИУ ВШЭ"
2012.
Added: Feb 22, 2013
Влияние выбора целей и инструментов политики денежных властей на уязвимость экономик
Трунин П. В., Дробышевский С. М., Евдокимова Т. В. М.: Издательский дом «Дело» РАНХиГС, 2012.
Added: Mar 26, 2013
A Joint Non-Parametric Approach to the Decomposition of Bond Yields and CDS Spreads: Application of Eurozone Market Data
Lapshin V. A., Kurbangaleev M. Z. Financial Economics. FE. Высшая школа экономики, 2012. No. 13/FE/2012.
In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS spreads. The proposed approach is essentially an infinite-dimensional modification of the Heath-Jarrow-Morton framework and is general enough to capture even very non-trivial shapes of the yield and hazard-rate curves. The approach allows us to jointly estimate entire term structures of yields, hazard rates, and liquidity premiums, no matter what shapes they take. We apply the developed methodology to data on major Eurozone sovereign borrowers and consider the most recent period of the Eurozone debt crisis. Our data set includes instruments with maturities from 6 months to 30 years. As a result, we found several interesting interaction effects between those components in terms of term structure. Treating the bond-CDS basis as a measure of the cross-market liquidity spread, we find that cross-market liquidity evolves in a rather non-trivial and pronounced manner. As the credit quality of the reference entity deteriorates, the liquidity of the CDS market dries up, starting from longer terms.
Added: Mar 18, 2013
Реплицируемость и равенство премий за кредитный риск на рынках кредитных дефолтных свопов и облигаций на плавающую ставку
Андреев Н. А., Курбангалеев М. З. Финансовая инженерия, риск-менеджмент и актуарная наука. WP16. Высшая школа экономики, 2013
The study was implemented in the framework of the Basic Research Program at the National Research University Higher School of Economics (HSE) in 2013. We study the equivalency of two hypotheses: replicability of default-free bond with a CDS and a reference defaultable bond and equality between bond credit risk premium and CDS spread. For continuous coupon arbitrage-free market we show that the hypotheses are equivalent, however for discrete coupon market we derive presence of arbitrage when both hypotheses are true. We also demonstrate that in discrete coupon market hypothesis of replicability leads to arbitrage opportunities in a more common sense than classic arbitrage definition.
Added: Oct 21, 2013
Институт минимальной заработной платы в странах ОЭСР
Вишневская Н. Т. Проблемы рынка труда. WP3. Высшая школа экономики, 2005. № 03.
The paper examines the institute of minimum wage in developed and transition economies and in a number of the developing countries. First of all the institutional mechanism of minimum wage fixing is considered. One of the sections explores the dynamics of absolute and relative levels of minimum wage. The special attention is paid to the impact of the institute of minimum wage on the labour market. The author considers the mechanism of transmission of the minimum wage increases on the employment and unemployment dynamics. The paper also contains the result of the empirical research. The experience of many countries witnesses that large increases in minimum wage levels lead to the stagnation of the employ-ment, especially of the disadvantaged groups. The negative effect is larger for the companies with higher share of labour costs and more active use of unqualified labour, that is small businesses and agricultural enterprises. One of the main conclusions is that the minimum wage is not an effective tool of the poverty reduction as the majority of the recipients live in households of average and upper average income.
Added: Oct 13, 2012
Численность и состав российской бюрократии: между советской номенклатурой и госслужбой гражданского общества
Гимпельсон В. Е. Проблемы рынка труда. WP3. Высшая школа экономики, 2002. № 05.
Added: Mar 26, 2013
Государственная политика в области ограничения курения: какие меры наиболее эффективны
Засимова Л. С. Вопросы государственного и муниципального управления. 2010. № 4. С. 68-81.

Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.

Added: Oct 2, 2012
Макроэкономическое обоснование антикризисного управления организациями
Березовский Д. С. Вестник Московского государственного университета печати. 2011. № 2.
Added: Mar 3, 2014
Оценка эффективности деятельности компании на основе ее интеллектуального потенциала
Хинина Н. С. Казанская наука. 2010. № 4. С. 103-109.

One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.

 

Added: Nov 7, 2012
Правовые институты в России 2000-2007 годах: взгляд со стороны бизнеса
Яковлев А. А. Общественные науки и современность. 2008. № 4. С. 21-37.
Added: Sep 22, 2012
На океанских волнах. Россия в мировом кризисе
Уринсон Я. М. Вестник Европы. 2014. № 38-39.
Added: Feb 5, 2018
Применение различных вариантов правила передачи голосов
Карпов А. В., Вольский В. И. Полития: Анализ. Хроника. Прогноз. 2011. № 2. С. 162-174.
Added: Jun 24, 2011