The main regulations of short selling in Russian stock markets are presented, and the importance of short selling practices is examined by comparing different asset allocation strategies. A new methodology based on the positive and negative potential for the price (or return) on the next day is...

The Russian banking system is in its worst crisis since 1998, a fact made particularly evident by the collapse in share prices for every financial service company, together with the fall of Russian stock markets. However, differently from 1998, the banking system finds itself in a better...

Extreme Value Theory (EVT) deals with the analysis of rare events and it has been recently used in finance to predict the occurrence of such events, or, at least, to build more robust models for unexpected extreme events. Particularly, EVT has been used to model the loss severities in...