Izvestiya of Saratov University.
ISSN 1994-2540 (Print)
ISSN 2542-1956 (Online)


macroeconomic models

Systemic risk in Russian financial market: A ΔCoVaR approach

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.