Studies from Almaty Management University Add New Findings in the Area of Risk Management (Assessing the Market Risk on the Government Debt of Kazakhstan and Bulgaria in Conditions of Turbulence): Insurance – Risk Management

2022 JUN 15 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- New research on risk management is the subject of a new report. According to news reporting out of Almaty, Kazakhstan, by NewsRx editors, research stated, “The purpose of this publication is to quantify and compare the market risk on the external government debt of Kazakhstan and Bulgaria in the conditions of COVID-19, the emerging energy crisis, and the coup attempt in the first country.”

Our news editors obtained a quote from the research from Almaty Management University: “In particular, the authors invest the market risk of sovereign bonds issued on global financial markets. Market risk is assessed both as a single issue and at a portfolio level using the Value-at-risk approach. Sixteen samples with historical observations of all issues of Kazakhstan’s and Bulgarian Sovereign Bonds issued on the international financial markets were formed. The duration method was used in the calculation of Delta normal bond VaR and CVaR. It was found that with the same credit rating, similar portfolio duration levels, similar GDP per capita, Debt (% of GDP), and Debt Per Capita, the market risk on their portfolio differed significantly. The comparison of risk levels between the two portfolios was made by six indicators-two indicators measuring linearly the sensitivity of bond prices to changes in market interest rates (Weighted average Macaulay duration and Weighted average modified duration) and four downside indicators (Undiversified VaR, Diversified VaR, Undiversified CVaR, amd Diversified CVaR).”

According to the news editors, the research concluded: “The return/risk performance of both portfolios was assessed by the Sharpe ratio in three variants (SR Undiversified VaR, SR Diversified VaR, and SR Diversified CVaR). When evaluating the bond portfolio VaR and CVaR, a practical version of the Duration method was proposed, which allows the use of an unlimited number of assets, taking into account the correlations between yield returns and historical price volatility.”

For more information on this research see: Assessing the Market Risk on the Government Debt of Kazakhstan and Bulgaria in Conditions of Turbulence. Risks, 2022,10(93):93. (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks10050093.

Our news journalists report that additional information may be obtained by contacting Olga Em, Graduate School of Business, Almaty Management University, Almaty 050060, Kazakhstan. Additional authors for this research include Georgi Georgiev, Sergey Radukanov, Mariana Petrova.

(Our reports deliver fact-based news of research and discoveries from around the world.)