Izvestiya of Saratov University.

Economics. Management. Law

ISSN 1994-2540 (Print)
ISSN 2542-1956 (Online)

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Faizliev A. R. Systemic risk in Russian financial market: A ΔCoVaR approach. Journal Izvestiya of Saratov University. Economics. Management. Law, 2023, vol. 23, iss. 3, pp. 278-292. DOI: 10.18500/1994-2540-2023-23-3-278-292, EDN: QHNHVA

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Systemic risk in Russian financial market: A ΔCoVaR approach

Faizliev Alexey Raisovich, Saratov State University

Introduction. Recent financial crises have highlighted the need for increased attention to systemic risks and indicators to track them. This study is devoted to the assessment of systemic risk, which is a popular subject of economic research. The paper analyzes systemic risks in the Russian stock market for companies included in the RTS index. Theoretical analysis. We will focus on one common measure of systemic risk, CoVaR, which is the notional value at risk (notional VaR), defined as the change in the value of a financial system (asset) at risk versus another asset (system) in decline. The CoVaR risk measure is a powerful risk management tool and can be viewed as a simultaneous measure of system vulnerability, allowing the identification of assets that are classified as systemically important. Еmpirical analysis. The study tests the hypothesis of structural changes in the risk propagation network over time and looks at various measures of strength centrality, betweenness centrality, eigenvector centrality and Page Rank to identify assets that can propagate negative shocks through the network. Results. The results show that during the shocks of 2014 and 2020 the Russian stock market was exposed to more systemic risk and greater interconnectedness between assets. Shares of Sberbank and Tatneft contributed significantly to this risk during the political crisis and beyond, with company size not a dominant factor.

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