We examine the hedging properties of different asset classes as impacted by the Russian invasion of Ukraine in 2022. We employ wavelet coherence analysis to study the impact of geopolitical risk on various types of securities. We found that different asset classes exhibited unequal risk...

In this paper, we demonstrate that the U.S. equity market and a few specific sectors produce significantly positive returns during high geopolitical threats, even with the presence of standard controls, whereas other major markets around the world fail to exhibit such results. We use the...

Using the geopolitical threats (GPT) index of Caldara and Iacoviello (2022), we show, in this paper, that the U.S. equity market and a few individual sectors produce significantly positive returns during high geopolitical threats, even with the presence of standard controls, while other major...

This сhapter focuses on the assessment and management of ALM risks: liquidity risk and interest-rate risk. The first part is devoted to liquidity risk: various types of liquidity risk, its sources, measures, and the principles of liquidity risk management, as well as scenarios for stress...

В статье представлен алгоритм построения приближенной линии эффективного фронта, основанный на авторских формулах. Последовательность введения инструментов в...

В статье представлены модели портфелей ценных бумаг, относящиеся к докризисному и кризисному периодам, рассчитанные на основе биржевых котировок с...