Importance The article mentions that financial flows in Russia are volatile. Whereas, volatility, being an important market evaluation tool, directly hinders the pace of national economic growth, it is reasonable to devise a new approach to its evaluation, especially in terms of economic significance and adaptedness to the economic crisis. Based on the analysis of methods and criteria for risk assessment and identifying the substance of spot volatility as suggested in professional literature, we determine a new risk metric and attempt to formalize it. Objectives To formulate scientific and methodological guidelines for shifting to the new concept of risk assessment, we tackle the following objectives on a consistent basis. We examine the existing main approaches to assessing the level of risk, review sufficiency and adequacy of risk level assessment in relation to the mean square deviation (the risk assessment concept implemented) and consider the notion of spot volatility. We suggest a new concept of the nature of changing the target market indicator against its expected value. Methods Drawing upon the theory of correlation functions, we formalize the nature of changing the target market indicator (a critically new approach). The research substantiates the need to apply a more sophisticated risk level assessment. Providing the theoretical substantiation of the spot volatility assessment model, we propose a comprehensive, aggregate, unbiased indicator of risk level assessment. As an example, we refer to assessments of risk associated with spot volatility of energy prices and foreign exchange rate of the Russian ruble. Results The research will contribute to a more thorough analysis of the market conditions and situation, identifying a more reasonable correlation between yield and spot volatility, increasing the efficiency of hedging on the basis of spot volatility. Conclusions and Relevance We conclude that it is possible and necessary to assess risk using spot volatility, adopt a new risk metric, i.e. CF (correlation function), and practice it.
Keywords: spot volatility, risk measure, correlation function
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