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Киприянов Алексей Алексеевич

Факультет экономических наук

Профиль на hse.ru ↗ тел.: 27110
Публикаций
4
Языков
2
Наград
0
Конференций
4
Профиль Публикации (4) Курсы (6)

Профессиональные интересы

риск-менеджментмакроэконометрикафинансовые кризисы

Должности

  • Стажер-исследователь — Факультет экономических наук, Центр финансовых исследований и анализа данных
  • Приглашенный преподаватель — Международный институт экономики и финансов

Био

  • · Начал работать в НИУ ВШЭ в 2021 году.

Опыт работы

  • · 07.2020 – 03.2021: Банк «Открытие», кредитный риск-менеджер
  • · 01.2023 - н.в.: Московский кредитный банк, эксперт, Департамент казначейства

Конференции (4)

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  • · 2025: XXV Ясинская (Апрельская) международная научная конференция по проблемам развития экономики и общества (Москва). Доклад: Cargo cult or proper imported practice: the analysis of short-selling restrictions in emerging markets
  • · 2025: International Conference on Empirical Economics (ICEE) at PSU-Altoona (Алтуна). Доклад: Cargo Cult or Proper Imported Practice: the Analysis of Short-Selling Restrictions in Emerging Markets
  • · 2024: Чтения по экономике и финансам памяти Е. Г. Ясина (Москва). Доклад: Regulator's dilemma: short selling ban vs capital requirements under Basel III
  • · 2024: International Conference on Empirical Economics (ICEE) at PSU-Altoona (Алтуна). Доклад: Regulator's dilemma: is short-selling ban really efficient in preventing equity market crashes?

Идентификаторы исследователя

  • ORCID: 0009-0004-3099-9705

Публикации (4)

The analysis of short-selling restrictions in emerging equity markets

2026 в печати · ARTICLE · en

Spreading of COVID-19 threatened the financial stability world-wide and led to introduction of short-selling restrictions in equity markets. Both developed and emerging markets tried to protect investors with such measures, aiming to support price level and prevent market panic. In the modern literature there is no unequivocal opinion about the effect of short-selling restrictions on equity markets, moreover, most of the literature focuses on the USA and Europe, paying no attention to the developing equity markets. For the first time in the literature the paper examines the effect of short-selling restrictions in emerging markets. In the paper the analysis of restrictions on stock returns, volume of trade, liquidity, volatility, and market risk-metrics (Value-at-Risk and Expected Shortfall) is carried out. The study covers the period of financial turmoil of 2020, caused by spreading of COVID-19. The study is carried out separately for the two most popular restriction types: short-selling ban and uptick rule, which allows to compare these two policies. It turns out that both short-selling ban and uptick rule have the same effect on equity markets in terms of size and significance of the effect. With a matched difference-in-difference framework the study finds that introduction of short selling restrictions leads to an increase in daily and weekly stock returns with no change in volume of trade or liquidity. On the contrary to previous studies the volatility of stock returns decreases, leaving market risk measures (Value-at-Risk and Expected Shortfall) unchanged. The results are validated by several robustness checks: placebo tests, changes of matching schemes. The results of the study may help equity market regulators to understand the outcome of short selling restrictions on stock market and influence their decisions upon the type and duration of short-sale restrictions.

The Regulator’s Dilemma: Impact of Short-Selling Bans on Tail Risk in Equity Markets

2024 · ARTICLE · en

COVID-19 forced market regulators in several European countries to introduce short-selling bans in spring 2020. This paper examines the effect of the bans on the volatility and tail risk in the equity markets. Such bans are assumed to be helpful in preventing severe market crashes: the removal of short sellers is believed to reduce falls in equity prices. I find that the imposition of restrictions increases market risk metrics such as value-atrisk and the expected shortfall of stock returns. Banks are subject to capital requirements; in relation to market risk, these requirements are based upon the risk metrics previously mentioned. A sharp change in either makes banks more vulnerable to equity price fluctuations and more likely to sell assets to cope with breached capital requirements. The additional sales caused by the latter effect lead to a further decrease in equity prices. Asset sales during crises are unlikely to be profitable, and they therefore decrease capital further. Consequently, bans on short sales that are intended to cool down market panic lead to further falls in equity prices in bank-based systems. Based on evidence from European markets in 2020, I find that short-sale bans lead to significant increases in value-at-risk (from 15 to 18%, depending on the methodology), while the expected shortfalls jump by 30%.

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Short Sale Ban as Protection from Market Crash: Evidence from the European Union

2023 · ARTICLE · en

Europe was divided in the spring of 2020: one part introduced a ban on short sales, while the other did not. Applying difference-in-difference methodology, I use this natural experiment to show that the imposition of the short sale ban positively affected stock returns in the countries in question, but that it was detrimental to market volume and liquidity, with no effect on volatility. Placebo tests confirm the validity of the results. The removal of the short sale ban led to a positive effect on returns in the countries where the ban was lifted, volume decreased, and liquidity and volatility improved.

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Comparison of Models for Growth-at-Risk Forecasting

2022 · ARTICLE · en

During the past several decades, the importance of assessing the risk of GDP growth downturns has increased tremendously. The financial crisis of 2008–2009 and the global lockdown caused by the COVID-19 pandemic demonstrated the vulnerability of the modern economy. As a result, a new framework (Growth-at-Risk) has been developed which allows the estimation of the size of the potential downfall of future GDP growth. However, most of the research focuses on the performance of quantile regression. I apply different approaches to forecasting growth-at-risk, including quantile regression, quantile random forests, and generalised autoregressive conditional heteroscedastic (GARCH) models, using the US economy for the analysis. I find that GARCH-type models perform worse at 5% and 10% coverage levels, but that quantile random forests and quantile regressions seem to have equal predictive ability.

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Курсы (6)