Malkina M.Yu.Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation mmuri@yandex.ru
Balakin R.V.Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation rodion-balakin@yandex.ru
Importance The article deals with the analysis and evaluation of the Russian tax system risk. Objective Using the modern statistical methods for the risk and portfolio approach assessing, we evaluate the internal risk of the Russian tax system in its correlation with the system rate of return and give an explanation of dynamic changes of its condition. Methods For estimating the tax system risk, we applied an approach used for assessing the risk of investment portfolio. In our case, separate taxes (or tax group) play a role of investment instruments, and they build up a "tax portfolio". In this regard, the risk of such a portfolio depends on the risk of each tax included, the share of taxes in portfolio and correlation of different tax revenues. Results On the basis of the selected factors (risk of each tax, tax share in total revenue and tax revenue correlation) we offer a technique for assessing the risk of tax system, which includes the assessing the risk and profitability of "tax portfolio" followed by the Sharpe ratio calculation. To assess the risk of each tax, we use the relative indicator of uniformity of distribution, i.e. the variability index, which is calculated according to the main groups of taxes based on the level of tax burden. In this case, the risk would mean the uneven distribution of the tax burden for each tax between the territorial entities of the Russian Federation, which is estimated through the differentiation of the tax burden in these regions. The correlation of the level of tax revenues according to the different taxes is calculated against each other based on the correlation coefficient. As a result of this calculation, taxes got grouped based on the level of the demonstrated correlation: positive, negative or which demonstrate a low statistical correlation. For tax revenues, we identify a direct classic correlation of a risk/profitability pair, which is in the best way characterized by an exponential function with strong correlation. Conclusions and Relevance We conclude on the dynamics of risk and profitability of the modern Russian tax system.
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