Principles of government debt-asset management under uncertainty and incomplete credibility
Qualitative and numerical analysis of a dynamic non-recursive model of debt-asset management with term and currency structure. The model results were used for recommendations to the Russian government in the context of set-up of a debt-management agency.
Financial issues of the pension reform in Russia
On the basis of an overlapping multi-generation model with explicit demographic structure, transition to the funded system has been examined. As numerical simulations revealed, the reform would fail without effective financial management by the state. The proposals concerning strategic activity of the Pension fund have been supplied to the authorities responsible for the pension reform implementation.
Stabilization Fund management and the pension reform
A dynamic model of efficient portfolio and risk management under finite-time horizon and in the presence of long-term targets has been proposed and examined. Recommendations have been provided to the Russian Ministry of Finance to radically improve management of the State Stabilization Fund.
Optimal taxation of the Russian oil industry
An empirical study of corporate data allowed assessment of a very uneven tax pressure on oil companies. Basing on this study it was recommended to the Government to improve tax administration to level out effective tax burden among large and medium-size oil companies.
Inflation costs in Russia and the fiscal factors of regional inflation
On the basis of macro data and overall panel of regions, the welfare loss from inflation has been calculated and the impact of regional budget policy on inflation pressure has been examined.
Mixed risk aversion
An original approach to modeling risk preference generalizing standard utility functions with applications to decision theory and portfolio choice.
Evaluation of companies on the basis of stochastic calculus
New numerical methods of stochastic analysis have been developed and applied for evaluation of oil companies in Russia. Estimation of a stochastic efficiency frontier for the oil industry with application to fundamental company evaluation.
Rationality of stop-loss strategies
A study of portfolio and risk performance of stop-loss strategies and behavioral issues of irrational behaviour.
Efficiency of natural resource allocation in Russian oil and gas industries
Application of advanced auction theory to oil and gas deposits distribution by the state. Collaboration with PennState University.
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I am happy to welcome you on our website on behalf of the Institute for Financial Studies. The IFS is an independent research center founded in 1996 by a skilled team of young economic experts who set out to bring the latest developments in world financial and economic theory to bear on the decision-making practices at Russia's state-owned and private companies. These prominent scientists never ceased their efforts, continuing their activities even through economic hard times.
