Linear and nonlinear filtering in mathematical finance: a review

Copyright @ The Authors 2010This paper presents a review of time series filtering and its applications in mathematical finance. A summary of results of recent empirical studies with market data are presented for yield curve modelling and stochastic volatility modelling. The paper also outlines different approaches to filtering of nonlinear time series

An algorithm for moment-matching scenario generation with application to financial portfolio optimization

We present an algorithm for moment-matching scenario generation. This method produces scenarios and corresponding probability weights that match exactly the given mean, the covariance matrix, the average of the marginal skewness and the average of the marginal kurtosis of each individual component of a random vector. Optimisation is not employed in the scenario generation process and thus the method is computationally more advantageous than previous approaches. The algorithm is used for generating scenarios in a mean-CVaR portfolio optimisation model. For the chosen optimisation example, it is shown that desirable properties for a scenario generator are satisfied, including in-sample and out-of-sample stability. It is also shown that optimal solutions vary only marginally with increasing number of scenarios in this example; thus, good solutions can apparently be obtained with a relatively small number of scenarios. The proposed method can be used either on its own as a computationally inexpensive scenario generator or as a starting point for non-convex optimisation based scenario generators which aim to match all the third and the fourth order marginal moments (rather than average marginal moments)

Инвестиционные налоговые льготы в Китае: особенности правового регулирования и сравнительный анализ с российскими практиками

The subject. The article discusses the legal regulation of investment tax incentives in China. The choice of the object of research is determined by the prospects of comparative legal studies of the experience of states bordering the territories of the Russian Far East, where numerous zones with special economic status have been created, within which preferential business regimes are applied.Purpose of the study. Despite the diversity of special economic zones in the Russian Federation and the constant creation of new zones, preferential regimes do not always prove their effectiveness. Based on the above, it seems very relevant to analyze the best international and national practices in order to develop criteria for the effectiveness and efficiency of preferential tax regimes for zones with special economic status.Thus, the specifics of the comparative legal method of research always consists in the fact that it is not necessary to borrow foreign experience, but it is also possible to find the best practices within domestic legislation. Therefore, it is necessary to look for ways to ensure that Russian tax legislation laying the foundation for supporting innovation in our country.Methodology. The research was carried out with the application of the formally legal interpretation of legal acts as well as the comparative analysis of international and Chinese legal literature. Structural and systemic methods are also the basis of the research.The main results. As China seeks to transform from a mass producer of inexpensive goods to a high-end producer, the national government is making significant efforts to encourage targeted investment in research and development (R&D) and technological innovations. This has led to the fact that China has awarded the technology sector the title of strategic, and its state support has increased significantly.Сonclusions. On the base of the analysis of the main tax incentives in China, the author comes to the conclusion that a significant part of them is aimed at enterprises engaged in research and development, as well as technological innovations. Also, a significant part of tax benefits is provided to enterprises based on the choice of the geographical area of the company's establishment. The conclusion is made about the possibility of applying the Chinese experience in Russia in reforming preferential tax regimes.The support for companies in the technology sector in Russia is especially important due to the policy of recent years aimed at establishment of tax benefits for IT companies. Both Russia and China strive to promote the accelerated development of innovative industries, the implementation of priority investment projects, as well as the development of small business.Рассматривается правовое регулирование инвестиционных налоговых льгот в Китае. Выбор объекта исследования обусловлен перспективами сравнительно-правовых исследований опыта государств, граничащих с территориями Дальнего Востока России, где созданы многочисленные зоны с особым экономическим статусом, в рамках которых применяются преференциальные режимы осуществления предпринимательской деятельности. Рассматривается общая характеристика налоговых льгот и этапы создания специальных экономических зон в Китае, виды специальных экономических зон. Прежде чем перейти к рассмотрению налоговых льгот, дается общая характеристика законодательства Китая об инвестициях, описываются ограничения и запреты для осуществления иностранных инвестиций в Китае. На основании анализа основных налоговых льгот в Китае делается заключение о том, что существенная их часть направлена на предприятия, осуществляющие исследования и разработки, а также технологические инновации. Также существенная часть налоговых льгот предоставляется предприятиям на основании выбора географического района учреждения компании. Делается вывод о возможности применения китайского опыта в России при реформировании преференциальных налоговых режимов

Tax Challenges Arising from the Digitalisation of the Economy: The Development of the OECD Project and Possible Implementation in Russia

The digitalisation of the economy has created a number of complex problems in the area of taxation. A majority of these problems relate to the issue of the distribution of taxing rights between states in the context of taxing income received as a result of crossborder activities. This article discusses the initiatives of the Organisation for Economic Cooperation and Development (OECD) regarding the taxation of international groups of companies in the era of the digital economy. It considers methodological approaches to taxation of the digital economy and highlights the features of the digitalisation of the economy that play an important role in tax policy. The study undertaken is based on a comparative legal method that allows for the examination of similar legal problems found in legislation and international treaties, as well as the identification of optimal ways to solve them. The following main problem with taxation of the digital economy is highlighted: tax systems laid down in the 1920s traditionally take into account the principles of the source of income and residency. In the new world of globalization and the digital economy, these principles have become significant obstacles to international trade. It is on this ground that the issues of the new nexus as well as the new model of allocation of taxing rights should be established. The article provides an analysis of the OECD’s two-pillar approach to these issues. Pillar 1 deals with the reallocation of profits of multinational enterprises to market jurisdictions. Pillar 2 deals with the issue of a global minimum tax. Additionally, the article discusses the various ways in which the new OECD concept could potentially be implemented in Russia

ВЛИЯНИЕ ИНТЕРНАЦИОНАЛИЗАЦИИ НАЛОГОВОГО ПРАВА НА РОССИЙСКОЕ ПРАВОПРИМЕНЕНИЕ В СФЕРЕ КОРПОРАТИВНОГО НАЛОГООБЛОЖЕНИЯ

Subject. The influence of internationalization of tax law on Russian tax law enforcement in the area of corporate taxation is considered in the article.The purpose of the paper is to analyze influence of internationalization of tax law on Russian tax law enforcement in the area of corporate taxation.Methodology. The author uses methods of theoretical analysis, particularly the theory of integrative legal consciousness, as well as legal methods, including formal legal method and methods of comparative law.Results, scope of application. The development of Russian tax legislation is influenced by acts of international organizations, primarily the Action Plan aimed at combating base erosion and profit shifting (BEPS).Trends of regulation of corporate taxation in relationships with participation of a foreign element are considered in the article. The main issues of realization of norms in the area of corporate direct taxation are brought into light, and namely, taxation of royalties, intra-group expenses, thin capitalization rules and transfer pricing. Tax agreements concluded by the Russian Federation do not contain special rules aimed at combating abuses (in contrast, for example, from European anti-avoidance rules).In recent years Russian tax law introduced institutions that had been established and applied in the tax law of foreign countries. These processes are moving forward and are characterized by frequent changes of legislation, which indicates that the concept of deoffshorization and implementation of the BEPS plan is not always elaborated at the stage of adoption of bills.Conclusions. The author comes to the conclusion that the most relevant and most controversial issues are taxation of payment of royalties, debt financing and intra-group expenses. The practice of applying the CFC rules is just starts forming. In addition, there is a tendency to increase the quality and quantity of information sources used by tax authorities to collect evidence, including the expansion of the practice of information exchange.Рассматриваются тенденции правового регулирования отношений в сфере корпоративного налогообложения с участием иностранного элемента. Выделены основные вопросы, связанные с реализацией норм, регулирующих налогообложение прибыли юридических лиц: налогообложение выплаты роялти, долгового финансирования и внутригрупповых расходов, применение правил тонкой (недостаточной) капитализации, трансфертное ценообразование. Делается вывод о росте роли решений судов, особенно высших судебных инстанций. Наиболее актуальными и вызывающими наибольшее число споров с налоговыми органами вопросами являются налогообложение выплаты роялти, долгового финансирования и внутригрупповых расходов

ПРОМЕЖУТОЧНЫЕ РЕЗУЛЬТАТЫ И ПРЕДЕЛЫ ГАРМОНИЗАЦИИ ПРЯМЫХ НАЛОГОВ В ЕВРОПЕЙСКОМ СОЮЗЕ

УДК 347.9The article is devoted to analysis of tax harmonization in the area of direct taxation in the European Union. Questions of positive and negative integration, common market and tax harmonization are analyzed.The author mentions the following benchmarks of the European tax integration: these are tax harmonization in the area of direct taxation, prohibition of discrimination and of unfair competition, leading role of fundamental freedoms in field of European integration.The direct effect of EU law is brought into light. The international treaty is a special source of law of Member States and it used in cases which can't be regulated by national legislation or by acts of integration law.Directives and regulations as sources of EU secondary law are described in the article. Their special features are also brought into light.International EU agreements and acts of cooperation in the area of taxation are also brought into light. The special role of soft law is also mentioned in the article.The special role of the European Court of Justice in forming of EU tax law is emphasized.The conclusion of the article is in the statement of importance of taxation in the forming of internal market in integration community.The expected results are important both from theoretical and practical points of view and include:working out the legal framework of direct taxation and finding out actual problems of integration tax law mentioning modern trends of cross-border taxation;recommendations of improving of harmonization mechanisms in the EAEU and improving of the Russian Tax Code.УДК 347.9В статье представлен анализ налоговой гармонизации в сфере прямого налогообложения в Европейском Союзе. Автор выделяет несколько важных моментов, являющихся отправными точками европейской интеграции в сфере налогового права: налоговую гармонизацию в сфере прямых налогов, запрет дискриминации и ограничения конкуренции, а также ведущую роль основных свобод в деле европейской интеграции.В статье подчеркивается особая роль Европейского суда справедливости в формировании налогового права Европейского Союза

Тенденции рассмотрения споров в сфере прямого налогообложения (обзор конференции «Актуальная практика Европейского суда справедливости в сфере прямого налогообложения», Вена, 8–10 ноября 2018 г.)

The report on the scientific conference “Recent and Pending Cases at the Court of Justice of the European Union on Direct Taxation”) is presented in the paper. The conference took place on November 8-10, 2018 at Vienna University of Economics and Business. Conferences on the EU Court of Justice decisions in the field of direct taxation have been held in Vienna annually since 2007. The most relevant topics at the 2018 conference were: increased understanding of state aid and the obligations of national courts to notify the European Commission; fiscal unity; taxation of dividends paid by non-residents; taxation of personal income; taxation of income from capital withdrawal; beneficial ownership issues; group taxation issues.В статье представлен отчет о научной конференции «Актуальная практика Европейского суда справедливости в сфере прямого налогообложения», проходившей с 8 по 10 ноября 2018 года в Экономическом университете Вены

Реализация принципа запрета дискриминации в правоприменительной практике интеграционных объединений

The subject. The problems of realization of non-discrimination principle in tax law of inte-gration associations are considered in the article.The purpose. The aim of this paper is to analyze influence of internationalization of tax law on tax law enforcement in the area of direct taxation using discrimination tests.Methodology. The author uses methods of theoretical analysis, particularly the theory of integrative legal consciousness, as well as legal methods, including formal legal method and methods of comparative law.The main results and scope of their application. The problems of realization of non-discrimination principle in EU tax law are considered in the article. The area of direct taxation is considered precisely. Roles of OECD Model Double Taxation Convention on Income and Capital and of practice of the European Court of Justice are brought into light. The possibilities of applying the experience of the European Union in the law enforcement practice of the Eurasian Economic Union are considered.Conclusions. The author comes to the conclusion that in the legislation of the EAEU member states the main criterion of identifying tax discrimination is the criterion of tax residency. The novelty of the Russian legislation was the institute of tax residency of organizations, which is based on the "nationality" of the organization. We can speak about the formation of a legal regime for non-discrimination in the legal space of the EAEU.Рассматриваются проблемы реализации принципа запрета дискриминации в налого-вом праве Европейского Союза. Особое внимание уделено сфере прямого налогооб-ложения. Освещена роль Модельной конвенции ОЭСР в отношении налогов на до-ходы и капитал, а также практики Европейского суда справедливости в правовом ре-гулировании запрета дискриминации. Рассматриваются возможности применения опыта Европейского Союза в правоприменительной практике Евразийского экономи-ческого союза

Особенности налогообложения доходов физических лиц в отношениях с иностранным элементом

УДК 347.9Subject. The issues of taxation of residents and non-residents under Russian tax law are considered in the article. The problems of realization of non-discrimination principle under Russian tax law are brought into light. The important role of judicial practice in development of mechanisms of taxation of non-residents is brought into light.Aim. The aim of this paper is the design of the legal framework of taxation of residents and nonresidents under Russian tax law in the scope of implementation of OECD mechanisms in the legal regulation of income taxation.Methodology. The author uses methods of theoretical analysis, particularly the theory of integrative legal consciousness, as well as legal methods, including formal legal method and comparative law.Results, scope. The personal income tax under Russian tax law is a direct federal income tax. It occupies a special place in the tax system, affects the interests of almost all citizens, is fairly simple in administration, and the share of its receipt in the budget is high.The leading element of the legal construction of the tax considered in the article is the subject of taxation, and namely the peculiarities of the taxation regime, depending on whether the taxpayer has the status of a resident or non-resident. The main differences of the taxation of tax residents and non-residents in the Russian Federation are the following ones:the object of taxation for tax residents of the Russian Federation is income received from sources in the Russian Federation and (or) from sources outside the Russian Federation; for non-residents it is the income they received only from sources in the Russian Federation;the tax rate for tax residents of the Russian Federation is 13 percent; the tax rate for nonresidents is 30 percent.When determining the tax base, all incomes of the taxpayer, received by him in cash or in kind, or the right to dispose of which he has arisen, as well as income in the form of material benefits, are taken into account. Exceptions to this rule are provided for in Article 217 of the Tax Code, which contains a list of income exempt from taxation.Conclusions. The author comes to the conclusion that the legal regulation of the taxation of residents and non-residents is changing rapidly. Meanwhile, in the Russian legislation, the specifics of creating and terminating the status of a tax resident are not specified in detail. At the same time, several taxation regimes have been established for foreigners. This fact allows them to pay taxes at a general rate.УДК 347.9В статье рассмотрены проблемы налогообложения физических лиц – нерезидентов в российском налоговом праве. Освещены проблемы реализации принципа запрета дискриминации в российском налоговом праве. Показана важная роль судебной практики в развитии механизмов налогообложения нерезидентов

Налогообложение доходов физических лиц в контексте проблем социальной справедливости

The subject. The leading position of the personal income tax in most countries is due to a number of circumstances. First, it is a personal tax, the object of which is the income actually received by the payer, and not the estimated average income that could be received in specific economic conditions. Second, income tax allows to maximize the implementation of the basic principles of taxation - universality and uniformity. In recent decades, national regimes of personal income taxation regimes have been actively developed both in foreign countries and in Russia.Purpose of the study. The article shows the results of analysis of the framework of personal income taxation in the Russian Federation in the context of the principle of the social fairness. Dealing with selected provisions of the national legislation of European countries and Russia the article shows that elements of progressive taxation can be applied only in particular aspects. The proposals of taxation of rich taxpayers are also brought into light. Methodology. The research was carried out with the application of the formally legal interpretation of legal acts as well as the comparative analysis of Russian and European legal literature. Structural and systemic methods are also the basis of the research,The main results. After studying the European experience of personal income taxation the authors come to the conclusion that some of the ideas described can be transferred to the Russian tax legislation, but this should be done with caution. It is not necessary to introduce a progressive tax system in its pure form in the Russian Federation, but it is worth considering options for switching to a dualistic system. The authors believe that the elements of borrowing foreign experience should be aimed rather at a fair distribution of benefits, for example, through rules that fix tax benefits.Conclusions. The following proposals can be formulated to improve the legal regulation of personal income taxation in the Russian Federation: the distinction between taxation of taxpayers with ultra-high incomes and those with minimal incomes should be based not on the income criterion, but on the expenditure criterion; to establish a non-taxable minimum in the amount of the minimum wage, which will ensure tax fairness for taxpayers with lower-average incomes; to review the criteria of taxation of luxury vehicles, raising the border separating the mass and premium segments of the Russian car market by at least two times - up to 6 million rubles. The best solution would be to abolish the vehicle tax and impose an increased excise tax on fuel and lubricants for personal transport.Рассматривается правовое регулирование налогообложения доходов физических лиц в Российской Федерации в контексте проблем социальной справедливости. На основании сравнительного анализа опыта стран ЕС и ОЭСР делается вывод о том, что элементы заимствования зарубежного опыта должны быть нацелены скорее на справедливое распределение благ, например с помощью норм, закрепляющих налоговые льготы. Ставки налога должны быть максимально эффективными, обеспечивать принципы определенности и справедливости налогообложения. Кроме того, результаты сравнительного анализа опыта государств - членов ЕС показывают неэффективность прогрессивной шкалы подоходного налогообложения как инструмента борьбы с социальным неравенством. По итогам исследования сделан вывод о том, что за основу разграничения налогообложения налогоплательщиков со сверхвысокими доходами и с минимальными доходами необходимо взять не критерий дохода, а критерий расходов