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- W3118182519 abstract "The paper provides the simulation of quantitative market risks assessment metrics Value-at-Risk and Expected Shortfall for a portfolio of eurobonds of Russian oil and gas companies, and for eurobonds of each particular company. As a result of the modeling, we noted an overall significant market risks` impact on the value of the analyzed securities and made a conclusion that it is impossible to completely neutralize the influence of market risks. In this regard, the author proposes and justifies the administrative and structural solutions and recommendations, the introduction of which will enable the eurobonds issuing companies to enhance investors` loyalty to their issues and thereby reduce their cost, i.e. mitigate the required investors` return (Value-at-Risk in this case acts as a risk-premium)." @default.
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- W3118182519 date "2017-06-30" @default.
- W3118182519 modified "2023-10-14" @default.
- W3118182519 title "Quantitative Estimation Approaches to the Eurobonds Market Risks" @default.
- W3118182519 doi "https://doi.org/10.38050/01300105201736" @default.
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