Recent Periods of Financial Turbulence on the Russian Stock Market and Their Effect on Price Correlation and Value at Risk

Authors

Alexander Logoveev, Financial University under the Government of the RF, MoscowFollow
Gregory Cherinko, Financial University under the Government of the RF, MoscowFollow

Abstract

The aim of this article is to observe and analyze the recent periods of financial turbulence on the Russian stock market and determine their influence on the correlation coefficients between asset prices and the Value at Risk measure for a portfolio. Our task was to describe the previously observed phenomenon of correlation enlargement during times of financial crises deemed in our research as separate Black Swans. Based on up-to-date financial data analysis we determined correlation trends that can be useful in risk management and applied the Value at Risk method.

Recommended Citation

Logoveev, Alexander and Cherinko, Gregory (2015) "Recent Periods of Financial Turbulence on the Russian Stock Market and Their Effect on Price Correlation and Value at Risk," Undergraduate Economic Review: Vol. 11: Iss. 1, Article 17.
Available at: https://digitalcommons.iwu.edu/uer/vol11/iss1/17