Details about Victor Lapshin

Access statistics for papers by Victor Lapshin.

Last updated 2022-02-17. Update your information in the RePEc Author Service.

Short-id: pla646

Working Papers

2021

1. Immunizing a Marked-to-Model Obligation with Marked-to-Market Financial Instruments
   HSE Working papers, National Research University Higher School of Economics

2018

2. CHOOSING THE WEIGHTING COEFFICIENTS FOR ESTIMATING THE TERM STRUCTURE FROM SOVEREIGN BONDS
   HSE Working papers, National Research University Higher School of Economics
   See also Journal Article Choosing the weighting coefficients for estimating the term structure from sovereign bonds, International Review of Economics & Finance, Elsevier (2020) (2020)
3. STUDYING THE REPLICABILITY OF AGGREGATE EXTERNAL CREDIT ASSESSMENTS USING PUBLIC INFORMATION
   HSE Working papers, National Research University Higher School of Economics

2015

4. Study of Consistency of Bond and CDS Quotes
   HSE Working papers, National Research University Higher School of Economics

2014

5. A Nonparametric Method For Term Structure Fitting With Automatic Smoothing
   HSE Working papers, National Research University Higher School of Economics
   See also Journal Article A nonparametric method for term structure fitting with automatic smoothing, Applied Economics, Taylor & Francis Journals (2016) View citations (1) (2016)

2013

6. A joint non-parametric approach to the decomposition of bond yields and CDS spreads: application of Eurozone market data
   HSE Working papers, National Research University Higher School of Economics

Journal Articles

2022

1. Model-free nonparametric bounds for zero-coupon interest rates in bond markets without the no arbitrage principle
   Applied Economics, 2022, 54, (2), 135-144

2021

2. Yield Curve Estimation in Illiquid Bond Markets
   HSE Economic Journal, 2021, 25, (2), 177–195 View citations (1)

2020

3. Choosing the weighting coefficients for estimating the term structure from sovereign bonds
   International Review of Economics & Finance, 2020, 70, (C), 635-648
   See also Working Paper CHOOSING THE WEIGHTING COEFFICIENTS FOR ESTIMATING THE TERM STRUCTURE FROM SOVEREIGN BONDS, HSE Working papers (2018) (2018)
4. Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation
   Applied Econometrics, 2020, 57, 30-52

2019

5. A Nonparametric Approach to Bond Portfolio Immunization
   Mathematics, 2019, 7, (11), 1-12 View citations (2)
6. A nonparametric Bayesian approach to term structure fitting
   Studies in Economics and Finance, 2019, 36, (4), 600-615
7. Parametric Immunization of Interest Rate Risk via Term Structure Models
   HSE Economic Journal, 2019, 23, (1), 9-31

2016

8. A nonparametric method for term structure fitting with automatic smoothing
   Applied Economics, 2016, 48, (58), 5654-5666 View citations (1)
   See also Working Paper A Nonparametric Method For Term Structure Fitting With Automatic Smoothing, HSE Working papers (2014) (2014)