Home  Journals  Financial Analytics: Science and Experience  2(348) - 2019 April-June

Macro-level risk assessment on the basis of aggregate indicators

Received: 16 October 2018

Received in revised form: 15 November 2018

Accepted: 10 December 2018

Available online: 30 May 2019

Subject Heading: RISK, ANALYSIS AND EVALUATION

JEL Classification: Е44, G11, G15

Pages: 150–164

https://doi.org/10.24891/fa.12.2.150

Subject This article deals with the issues of assessing the risk level of various segments of financial markets.
Objectives The article aims to classify the indicators used to assess risk premium for individual segments of financial markets and countries and assess the risk level based on aggregate indicators.
Methods For the study, we used an economics and statistics analysis.
Results The article classifies indicators that characterize the risk premium level and examines the specifics and peculiarities of the main aggregate indicators calculation. Using some of them, we estimate the current level of risk in the world economy.
Conclusions The changing world economy as a result of the uneven recovery of the economies of developed and developing countries, as well as other reasons, requires an adequate and expeditious assessment of the global financial market. However, given current realities, the aggregate indicators traditionally used to assess the level of risk in the global economy do not provide adequate estimates.

Keywords: financial market, obligation, risk level, financial condition, risk premium

References:

1. Berezinskaya O.B., Vedev A.L. [Investments in the Russian Economy: Their Potential and Activation Directions]. Voprosy Ekonomiki, 2014, no. 4, pp. 4–16. (In Russ.) URL: Link
2. Kudrin А., Gurvich Е. A New Growth Model for the Russian Economy. BOFIT Policy Brief, 2015, no. 1/2015, 35 p. URL: Link
3. Medvedev D.A. [Russia-2024:The strategy of social and economic development]. Voprosy Ekonomiki, 2018, no. 10, pp. 5–28. (In Russ.) URL: Link
4. Kaminsky G., Schmukler S.L. Emerging Markets Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? The World Bank Economic Review, 2002, vol. 16, no. 2, pp. 171–195. Available at SSRN: Link
5. Gatarek D. Constant Maturity Swaps, Forward Measure and LIBOR Market Model. SSRN Electronic Journal, May 2003. URL: Link
6. Sengupta R., Tam Y.M. The LIBOR-OIS Spread as a Summary Indicator. Economic Synopses, 2008, no. 25. URL: Link
7. Thornton D.L. What the Libor-OIS Spread Says. Economic Synopses, 2009, no. 24. URL: Link
8. Rosenberg M.R. Financial Conditions Watch. Global Financial Market Trends & Policy, January 27, 2010, vol. 3, no. 1. Available on the Bloomberg at FCW.

View all articles of issue

ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

Journal current issue

Vol. 17, Iss. 1 March 2024

Archive