Alexander Kudrov

National Research University Higher School of Economics

Myasnitskaya street, 20

Moscow, Moscow 119017

Russia

SCHOLARLY PAPERS

3

DOWNLOADS

129

CITATIONS

0

Scholarly Papers (3)

1.

Dangers and Opportunities for the Russian Banking Sector: 2007-2008

THE BANKING CRISIS HANDBOOK, Chapman & Hall/CRC Finance, pp. 383-405, 2010
Number of pages: 55 Posted: 13 Aug 2010
Alexander Kudrov, Andrew Zlotnik and Dean Fantazzini
National Research University Higher School of Economics, affiliation not provided to SSRN and Moscow School of Economics, Moscow State University
Downloads 125 (175,809)

Abstract:

Crisis, Banking, Russia, Debt Structure, Systemic risk, Risk Management, Banking crisis, Forecasting, Default Probability

2.

Short Selling in Russia: Main Regulations and Empirical Evidence from Medium- and Long-Term Portfolio Strategies

HANDBOOK OF SHORT SELLING, pp. 387-400, Elsevier, 2012
Posted: 16 Nov 2011
Moscow School of Economics, Moscow State University, National Research University Higher School of Economics, affiliation not provided to SSRN and affiliation not provided to SSRN

Abstract:

Extreme events frequency, Federal Financial Markets Service, Generalized Pareto distribution, Kurtosis, Long–short trading strategy, Maximum annual drawdown, Sharpe ratio, Skewness, Volatility

3.

Small-Samples and EVT Estimators for Computing Risk Measures: Simulation and Empirical Evidences

THE RISK MODELING EVALUATION HANDBOOK, McGraw-Hill, pp. 339-361, 2010
Posted: 11 May 2010
Alexander Kudrov and Dean Fantazzini
National Research University Higher School of Economics and Moscow School of Economics, Moscow State University

Abstract:

EVT, Extreme Value Theory, VaR, Expected Shortfall, GARCH, Small Sample, Small Sample Properties, Market Risk, Operational Risk