Sergey Ivliev - Academia.edu (original) (raw)
Papers by Sergey Ivliev
Applied Econometrics, 2016
This part completes the consultation series dealing with bitcoin price modelling. Particularly, t... more This part completes the consultation series dealing with bitcoin price modelling. Particularly, the analysis focuses on the econometric approaches suggested to model bitcoin price dynamics, the tests used for detecting the existence of financial bubbles in bitcoin prices and the methodologies suggested to study the price discovery at bitcoin exchanges.
arXiv: Risk Management, 2010
The model is aimed to discriminate the 'good' and the 'bad' companies in Russian ... more The model is aimed to discriminate the 'good' and the 'bad' companies in Russian corporate sector based on their financial statements data based on Russian Accounting Standards. The data sample consists of 126 Russian public companies- issuers of Ruble bonds which represent about 36% of total number of corporate bonds issuers. 25 companies have defaulted on their debt in 2008-2009 which represent around 30% of default cases. No SPV companies were included in the sample. The model shows in-sample Gini AR about 73% and gives a reasonable and simple rule of mapping to external ratings. The model can be used to calculate implied credit rating for Russian companies which many of them don't have.
International Finance eJournal, 2016
Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lo... more Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lot of attention and interest worldwide and an increasing number of articles are devoted to its operation, economics and financial viability. This article reviews the econometric and mathematical tools which have been proposed so far to model the bitcoin price and several related issues, highlighting advantages and limits. We discuss the methods employed to determine the main characteristics of bitcoin users, the models proposed to assess the bitcoin fundamental value, the econometric approaches suggested to model bitcoin price dynamics, the tests used for detecting the existence of financial bubbles in bitcoin prices and the methodologies suggested to study the price discovery at bitcoin exchanges.
The Journal of Risk Finance
Global Markets and Financial Engineering, 2015
Since 2012 The Bank of Russia has been pursuing an active policy of implementing an approach to c... more Since 2012 The Bank of Russia has been pursuing an active policy of implementing an approach to calculating credit risks that is based on internal bank ratings in accordance with the document "International Convergence of Capital Measurement and Capital Standards: New Approaches" [1] of Basel Committee on Banking Supervision. This approach is called IRB-approach. Qualitative system of internal ratings facilitates an effective solution of the following tasks by the bank: to increase the quality of lendees assessment and lending-related decision-making, to determine lending limits, to perform pricing with account of risks, to evaluate a credit risk premium (spread), to substantiate the level of reserves against possible bad debts, to calculate RWA and sufficiency of the regulatory capital, to calculate the amount of the economic capital, RAROC, to improve the processes of risk and data quality management. Therefore, notwithstanding the plans of transition to IRB-approach for assessment of regulatory capital, it is relevant for banks to develop and improve own rating systems. In this article, we will consider a number of practical aspects of IRB-models creation that are related to determination of the parameters of discretisation and dynamic conversion of factors, the use of macroeconomic variables as factors and mapping of a model with an international scale.
Market Risk and Financial Markets Modeling, 2012
Currently, according to new Russian educational standards in higher education system there is a t... more Currently, according to new Russian educational standards in higher education system there is a transition from qualification model to professional competence model. Areas of Higher School modernization associated with the adoption of Russia Bologna Declaration includes: the transition to a two-tiered “the bachelor – master” system of education, the introduction of ECTS credits for the convertibility of diplomas and international educational mobility, the creation of a system of certification and quality control in education (introducing a rating system for both teachers and students alike), development of scientific environment.
Financial Econometrics and Empirical Market Microstructure, 2014
Nowadays stress-testing is a popular framework for the analysis of the financial stability of dif... more Nowadays stress-testing is a popular framework for the analysis of the financial stability of different markets’ institutes and objects. This work proposes a new approach to trading book stress-testing by building price paths based on generalized autoregressive conditional the heteroskedasticity (GARCH) model with Pareto distribution for the random fluctuation of prices and t-copula for describing the dependency structure between factors.
Market Risk and Financial Markets Modeling, 2012
Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets.- Eviden... more Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets.- Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data.- Revisiting of Empirical Zero Intelligence Models.- Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market.- Modeling Financial Market Using Percolation Theory.- How Tick Size Affects the High Frequency Scaling of Stock Return Distributions.- Market Shocks: Review of Studies.- The Synergy of Rating Agencies' Efforts: Russian Experience.- Spread Modelling Under Asymmetric Information.- On the Modeling of Financial Time Series.- Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information.- On Some Approaches to Managing Market Risk Using Var Limits: A Note.- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets.- Raising Issues About Impact of High Frequency Trading on Market Liquidity.- Application of Copula Models for Modeling One-Dimensional Time Series.- Modeling Demand for Mortgage Loans Using Loan-Level Data.- Sample Selection Bias in Mortgage Market Credit Risk Modeling.- Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence.- Stress-Testing Model for Corporate Borrower Portfolios.
The model is aimed to discriminate the 'good' and the 'bad' companies in Russ... more The model is aimed to discriminate the 'good' and the 'bad' companies in Russian corporate sector based on their financial statements data based on Russian Accounting Standards. The data sample consists of 126 Russian public companies- issuers of Ruble bonds which represent about 36% of total number of corporate bonds issuers. 25 companies have defaulted on their debt in 2008-2009 which represent around 30% of default cases. No SPV companies were included in the sample. The model shows in-sample Gini AR about 73% and gives a reasonable and simple rule of mapping to external ratings. The model can be used to calculate implied credit rating for Russian companies which many of them don't have.
Motivated by a routing problem to collect cash from over two hundred locations faced by banks in ... more Motivated by a routing problem to collect cash from over two hundred locations faced by banks in the city of Perm, Russia, we consider a variation of the standard traveling salesman problem (TSP) with clustering. To enhance the security of vehicles carrying cash, we employ multiple vehicles and determine an efficient routing; and, a single vehicle serves a set of locations that forms a cluster. The use of multiple vehicles and the need to form independent clusters to be served separately by vehicles presents a few modifications from the traditional vehicle routing problems. We use a two-step approach first we decide the number of clusters and the set of locations that form part of a cluster, and next, we solve a TSP within each cluster. We analyze a variety of heuristics 13 for the TSP and five for clustering and perform extensive computational experiments to determine an efficient solution. We also provide statistical guarantees on the quality of our routing. Finally, we provide an...
Applied Econometrics, 2016
This part completes the consultation series dealing with bitcoin price modelling. Particularly, t... more This part completes the consultation series dealing with bitcoin price modelling. Particularly, the analysis focuses on the econometric approaches suggested to model bitcoin price dynamics, the tests used for detecting the existence of financial bubbles in bitcoin prices and the methodologies suggested to study the price discovery at bitcoin exchanges.
arXiv: Risk Management, 2010
The model is aimed to discriminate the 'good' and the 'bad' companies in Russian ... more The model is aimed to discriminate the 'good' and the 'bad' companies in Russian corporate sector based on their financial statements data based on Russian Accounting Standards. The data sample consists of 126 Russian public companies- issuers of Ruble bonds which represent about 36% of total number of corporate bonds issuers. 25 companies have defaulted on their debt in 2008-2009 which represent around 30% of default cases. No SPV companies were included in the sample. The model shows in-sample Gini AR about 73% and gives a reasonable and simple rule of mapping to external ratings. The model can be used to calculate implied credit rating for Russian companies which many of them don't have.
International Finance eJournal, 2016
Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lo... more Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lot of attention and interest worldwide and an increasing number of articles are devoted to its operation, economics and financial viability. This article reviews the econometric and mathematical tools which have been proposed so far to model the bitcoin price and several related issues, highlighting advantages and limits. We discuss the methods employed to determine the main characteristics of bitcoin users, the models proposed to assess the bitcoin fundamental value, the econometric approaches suggested to model bitcoin price dynamics, the tests used for detecting the existence of financial bubbles in bitcoin prices and the methodologies suggested to study the price discovery at bitcoin exchanges.
The Journal of Risk Finance
Global Markets and Financial Engineering, 2015
Since 2012 The Bank of Russia has been pursuing an active policy of implementing an approach to c... more Since 2012 The Bank of Russia has been pursuing an active policy of implementing an approach to calculating credit risks that is based on internal bank ratings in accordance with the document "International Convergence of Capital Measurement and Capital Standards: New Approaches" [1] of Basel Committee on Banking Supervision. This approach is called IRB-approach. Qualitative system of internal ratings facilitates an effective solution of the following tasks by the bank: to increase the quality of lendees assessment and lending-related decision-making, to determine lending limits, to perform pricing with account of risks, to evaluate a credit risk premium (spread), to substantiate the level of reserves against possible bad debts, to calculate RWA and sufficiency of the regulatory capital, to calculate the amount of the economic capital, RAROC, to improve the processes of risk and data quality management. Therefore, notwithstanding the plans of transition to IRB-approach for assessment of regulatory capital, it is relevant for banks to develop and improve own rating systems. In this article, we will consider a number of practical aspects of IRB-models creation that are related to determination of the parameters of discretisation and dynamic conversion of factors, the use of macroeconomic variables as factors and mapping of a model with an international scale.
Market Risk and Financial Markets Modeling, 2012
Currently, according to new Russian educational standards in higher education system there is a t... more Currently, according to new Russian educational standards in higher education system there is a transition from qualification model to professional competence model. Areas of Higher School modernization associated with the adoption of Russia Bologna Declaration includes: the transition to a two-tiered “the bachelor – master” system of education, the introduction of ECTS credits for the convertibility of diplomas and international educational mobility, the creation of a system of certification and quality control in education (introducing a rating system for both teachers and students alike), development of scientific environment.
Financial Econometrics and Empirical Market Microstructure, 2014
Nowadays stress-testing is a popular framework for the analysis of the financial stability of dif... more Nowadays stress-testing is a popular framework for the analysis of the financial stability of different markets’ institutes and objects. This work proposes a new approach to trading book stress-testing by building price paths based on generalized autoregressive conditional the heteroskedasticity (GARCH) model with Pareto distribution for the random fluctuation of prices and t-copula for describing the dependency structure between factors.
Market Risk and Financial Markets Modeling, 2012
Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets.- Eviden... more Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets.- Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data.- Revisiting of Empirical Zero Intelligence Models.- Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market.- Modeling Financial Market Using Percolation Theory.- How Tick Size Affects the High Frequency Scaling of Stock Return Distributions.- Market Shocks: Review of Studies.- The Synergy of Rating Agencies' Efforts: Russian Experience.- Spread Modelling Under Asymmetric Information.- On the Modeling of Financial Time Series.- Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information.- On Some Approaches to Managing Market Risk Using Var Limits: A Note.- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets.- Raising Issues About Impact of High Frequency Trading on Market Liquidity.- Application of Copula Models for Modeling One-Dimensional Time Series.- Modeling Demand for Mortgage Loans Using Loan-Level Data.- Sample Selection Bias in Mortgage Market Credit Risk Modeling.- Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence.- Stress-Testing Model for Corporate Borrower Portfolios.
The model is aimed to discriminate the 'good' and the 'bad' companies in Russ... more The model is aimed to discriminate the 'good' and the 'bad' companies in Russian corporate sector based on their financial statements data based on Russian Accounting Standards. The data sample consists of 126 Russian public companies- issuers of Ruble bonds which represent about 36% of total number of corporate bonds issuers. 25 companies have defaulted on their debt in 2008-2009 which represent around 30% of default cases. No SPV companies were included in the sample. The model shows in-sample Gini AR about 73% and gives a reasonable and simple rule of mapping to external ratings. The model can be used to calculate implied credit rating for Russian companies which many of them don't have.
Motivated by a routing problem to collect cash from over two hundred locations faced by banks in ... more Motivated by a routing problem to collect cash from over two hundred locations faced by banks in the city of Perm, Russia, we consider a variation of the standard traveling salesman problem (TSP) with clustering. To enhance the security of vehicles carrying cash, we employ multiple vehicles and determine an efficient routing; and, a single vehicle serves a set of locations that forms a cluster. The use of multiple vehicles and the need to form independent clusters to be served separately by vehicles presents a few modifications from the traditional vehicle routing problems. We use a two-step approach first we decide the number of clusters and the set of locations that form part of a cluster, and next, we solve a TSP within each cluster. We analyze a variety of heuristics 13 for the TSP and five for clustering and perform extensive computational experiments to determine an efficient solution. We also provide statistical guarantees on the quality of our routing. Finally, we provide an...