IDENTIFYING STRATEGIC RISKS BASED ON THE SHARPE RATIO

UDC 338.2
DOI: 10.36871/ek.up.p.r.2024.11.01.018

Authors

Viktor V. Erokhin,
Moscow State Institute of International Relations (University), Ministry of Foreign Affairs of the Russian Federation, Moscow, Russia; Bauman Moscow State Technical University, Moscow, Russia
Maxim A. Ryzhikov,
Moscow State Institute of International Relations (University), Ministry of Foreign Affairs of the Russian Federation, Moscow, Russia

Abstract

Identification of financial risks based on the simplest economic coefficients is a topical task in the field of economics. A method for identifying financial risks using the modernized Sharpe coefficient is proposed. Aspects of calculating the Sharpe coefficient using the method of expert assessments, the use of historical data, the method of analogies, and methods of modeling and simulation are considered. Calculating the Sharpe coefficient allows for more reliable and accurate comparison of financial projects with respect to various risks of their implementation on the market.

Keywords

Sharpe ratio, financial risk, economics, modeling.