RUB

Is the Risk Premium High Enough in the Russian Ruble?

FX & Rates
177 Views, 18 Jan 2022 22:15
EXECUTIVE SUMMARY
  • The Russian ruble has been the worst-performing currency in EM over the past month leading to the question: Is the currency cheap based on the risk premium priced in it?
  • Comparing the current episode with the 2014 annexation of Crimea by Russia, we conclude that the market is pricing in a 10% probability of an invasion followed by crippling sanctions.
  • With the currency not particularly cheap and given the asymmetric risk-reward, I would opt to not have any exposure to it for the time being.
detail (15-minute read)
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Gautam Jain, PhD, CFA
Fixed Income and Currency Strategist
FX & RatesMacroeconomics

Gautam Jain has over 25 years of experience covering global emerging fixed income and currency markets, both as a strate... 

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