QUANTITATIVE ASSESSMENT OF INSTITUTIONAL RISKS USING EXISTING METHODS
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Author(s): | Slyunyaev D. A., |
| Number of journal: | 3(72) | Date: | September 2025 |
| Annotation: | The article examines the problem of quantitative assessment of a new type of risks in the stock market – insti- tutional risks caused by sanctions pressure and asset block- ing. Using the example of the Russian market in 2022–2023, the author analyzes the applicability of traditional risk assess- ment methods, such as volatility, Value at Risk (VaR), Condi- tional Value at Risk (CVaR), as well as the Sharpe, Sortino and Treynor ratios, to new types of threats in the context of geo- political instability. Based on empirical data from the MOEX and SPBE, a comparative analysis of blocked (ETF, BPIFs on foreign assets) and unblocked financial instruments (BPIFs on MICEX, MSCI USA, S&P500 indices, physical gold) is car- ried out in the short and long terms. The results show that traditional metrics fail to capture institutional risks associat- ed with politically motivated loss of investor access to assets due to their focus on price fluctuations and neglect of legal and infrastructural factors, such as sanctions against the National Settlement Depository or asset freezes in Euro- clear and Clearstream. The analysis includes calculations of expected value, CAGR, volatility, beta, VaR and CVaR, which demonstrate similar risk profiles for blocked and unblocked assets, without reflecting institutional threats. These limitations highlight the need to develop specialized analytical tools that integrate geopolitical indicators and qualitative parameters. The study contributes to risk management theory by confirming the uniqueness of new institutional threats and lays the foun- dation for further research on creating models that take into account sanctions and political factors, which will increase the resilience of investment portfolios in the stock market. | ||
| Keywords: | stock market, infrastructure risks, sanctions, sanction risks, institutional risks, asset blocking, foreign assets, ETF, BPIFs, foreign stocks |
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| For citation: | Slyunyaev D. A. Quantitative assessment of institutional risks using existing methods. Biznes. Obrazovanie. Pravo = Business. Education. Law. 2025;3(72):222—227. DOI: 10.25683/VOLBI.2025.72.1345. |
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