Alexey Rubtsov

Global Risk Institute

55 University Avenue, Suite 1801

Toronto, ON M5J 2H7

Canada

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SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts

LawFin Working Paper No. 41
Number of pages: 53 Posted: 08 Aug 2020 Last Revised: 21 Feb 2023
Patrick Augustin, Patrick Augustin, Alexey Rubtsov and Donghwa Shin
McGill UniversityMcGill University, Desautels Faculty of Management, Global Risk Institute and University of North Carolina at Chapel Hill, Kenan-Flagler Business School
Downloads 683 (61,723)
Citation 4

Abstract:

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bitcoin, blockchain, cryptocurrencies, derivatives, fintech, regulation

2.

Systemic Risk Driven Portfolio Selection

Number of pages: 52 Posted: 12 Jun 2019 Last Revised: 23 Aug 2021
Agostino Capponi and Alexey Rubtsov
Columbia University - Department of Industrial Engineering and Operations Research and Global Risk Institute
Downloads 420 (112,319)
Citation 1

Abstract:

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Systemic risk, Portfolio selection, Risk management, VaR, CoVaR, Risk-adjusted returns