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Quantifying the Impact of External Shocks on Systemic Risks for Russian Companies Using Risk Measure \(\varDelta \text {CoVaR}\)

  • Alexey Lunkov
  • Sergei SidorovEmail author
  • Alexey Faizliev
  • Alexander Inochkin
  • Elena Korotkovskaya
Conference paper

Abstract

One of the biggest recent shocks for Russian economy was the sharp fall of oil prices in 2014. Another big shock was the sanctions imposed by governments of the United States and European Union countries as well as some international organizations. Both sanctions and the sharp fall of oil prices resulted in the weakening of the Russian ruble and led to a sharp slowdown in growth or even to ongoing recession of the Russian economy. Our research examines the impact of the two shocks on systemic risks for some Russian companies using \(\varDelta \text {CoVaR}\), one of the most popular systemic risk measures proposed by M. Brunnermeier and T. Adriany in 2011. The measure provides an opportunity to estimate the mutual influence of certain institutions or the mutual influence of the financial system and a particular institution. The analysis is focused on the static model of the \(\varDelta \text {CoVaR}\) estimation. Moreover, this paper uses statistical testing procedures to assess the significance of the findings and interpretations based on this co-risk measure. The results show that the shocks has brought some negative effects of a disintegration of financial intermediation both for banks and some companies.

Keywords

CoVaR estimation Financial risk Kolmogorov–Smirnov type statistic Quantile regressions Risk measures Systemic risks Value-at-Risk 

Notes

Acknowledgements

The work was supported by RFBR (grant 18-37-00060).

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Copyright information

© Springer Nature Singapore Pte Ltd. 2019

Authors and Affiliations

  • Alexey Lunkov
    • 1
  • Sergei Sidorov
    • 1
    Email author
  • Alexey Faizliev
    • 1
  • Alexander Inochkin
    • 1
  • Elena Korotkovskaya
    • 1
  1. 1.Saratov State UniversitySaratovRussia

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