Quantitative Risk Analysis Tools for Investing in Digital Financial Assets
( Pp. 142-146)
More about authors
Maria V. Dobrina
Cand. Sci. (Econ.), Senior Lecturer at the Modeling and System Analysis Department
Financial University under the Government of the Russian Federation
Moscow, Russian Federation Victor P. Chernov Dr. Sci. (Econ.), Professor at the Applied Mathematics and Economic and Mathematical Methods Department
Saint-Petersburg State University of Economics
Saint Petersburg, Russian Federation
Financial University under the Government of the Russian Federation
Moscow, Russian Federation Victor P. Chernov Dr. Sci. (Econ.), Professor at the Applied Mathematics and Economic and Mathematical Methods Department
Saint-Petersburg State University of Economics
Saint Petersburg, Russian Federation
Abstract:
The article provides a comprehensive analysis of the risks associated with investing in digital financial assets, including credit, market, liquid, technological, legal and tax aspects. The purpose of this work is to analyze the risks associated with investing in digital financial assets, taking into account the current legal framework and market specifics. Tasks: quantitative analysis of credit risk; assessment of market risk and volatility; quantitative analysis of liquidity risk; analysis of legal risks; quantitative analysis of technological risks; quantitative analysis of tax risks; a model for assessing total profitability and risk as a quantitative analysis tool; the VaR model as a quantitative risk analysis tool; the Monte Carlo model as a quantitative risk analysis tool. Methods and models: The quantitative analysis method is used in this work. Special attention is paid to mathematical models for risk assessment and management, such as the credit risk model.
How to Cite:
Dobrina M. V., Chernov V. P. Quantitative Risk Analysis Tools for Investing in Digital Financial Assets // ECONOMIC PROBLEMS AND LEGAL PRACTICE. 2024. Vol. 20. № 6. P. 142-146. (in Russ.) DOI: 10.33693/2541-8025-2024-20-6-142-146. EDN: FLGTNZ
Reference list:
Vorontsov V.I. Legal aspects of regulation of digital financial assets in Russia. —Journal of Financial Law —No. 6. —2020. —pp. 45–60.
Davnis V.V., Dobrina M.V. Assessment and interpretation of risks in the stock market. —Theory and practice of functioning of the financial and monetary system of Russia. —Collection of articles of the international scientific and practical conference (fourteenth meeting). —2019. —pp. 19–21.
Davnis V.V., Dobrina M.V., Shishatsky A.V. Analysis of the federal law «On digital financial assets». —E-business: problems, development and prospects. —2019. —pp. 82–85.
Dobrina M.V. Assessment and interpretation of risks in the stock market: basic approaches.—Modern economy: problems and solutions. —№ 2 (110). —2019. —Pp. 30–40.
Kameneva E.A. Risks of digital financial assets in the digital economy. —Financial magazine. —No. 1. —2021. —pp. 53–65.
Safiullin A.R. Safin.R., Safina E.R. Digital economy as a factor of competition growth —The Center for scientific work of advanced economic research. —No. 21, 2021. —pp. 99–107.
Alexander C. Market Risk Analysis, Volume II: Practical Financial Econometrics. —2008. —Wiley. ISBN: 978-0-470-99752-6.
Dobrina M.V., Litvin A.I., Piskunov A.S. Mathematical tools for analyzing the risks of investing in digital financial assets. —Materials of the XXXVI International scientific and practical conference «21st Century: fundamental science and technology». —India. —2024.
Fabozzi F. J., & Mann, S. V. The Handbook of Fixed Income Securities (7th ed.). —McGraw-Hill. —2005. —ISBN: 978-0-07-144099-8.
Hull J. C. Risk Management and Financial Institutions (5th ed.). Wiley. —2018. —ISBN: 978-1-119-44003-5.
Jorion P. Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). —McGraw-Hill. —2006. —ISBN: 978-0-07-146495-6.
Davnis V.V., Dobrina M.V. Assessment and interpretation of risks in the stock market. —Theory and practice of functioning of the financial and monetary system of Russia. —Collection of articles of the international scientific and practical conference (fourteenth meeting). —2019. —pp. 19–21.
Davnis V.V., Dobrina M.V., Shishatsky A.V. Analysis of the federal law «On digital financial assets». —E-business: problems, development and prospects. —2019. —pp. 82–85.
Dobrina M.V. Assessment and interpretation of risks in the stock market: basic approaches.—Modern economy: problems and solutions. —№ 2 (110). —2019. —Pp. 30–40.
Kameneva E.A. Risks of digital financial assets in the digital economy. —Financial magazine. —No. 1. —2021. —pp. 53–65.
Safiullin A.R. Safin.R., Safina E.R. Digital economy as a factor of competition growth —The Center for scientific work of advanced economic research. —No. 21, 2021. —pp. 99–107.
Alexander C. Market Risk Analysis, Volume II: Practical Financial Econometrics. —2008. —Wiley. ISBN: 978-0-470-99752-6.
Dobrina M.V., Litvin A.I., Piskunov A.S. Mathematical tools for analyzing the risks of investing in digital financial assets. —Materials of the XXXVI International scientific and practical conference «21st Century: fundamental science and technology». —India. —2024.
Fabozzi F. J., & Mann, S. V. The Handbook of Fixed Income Securities (7th ed.). —McGraw-Hill. —2005. —ISBN: 978-0-07-144099-8.
Hull J. C. Risk Management and Financial Institutions (5th ed.). Wiley. —2018. —ISBN: 978-1-119-44003-5.
Jorion P. Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). —McGraw-Hill. —2006. —ISBN: 978-0-07-146495-6.
Keywords:
value-at-Risk (VaR), Digital Financial Assets (DFA), Credit Risk, Volatility, Legal Risks, Value-at-Risk (VaR), Monte Carlo Model, Regulation..
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