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Evaluation methods of efficiency of enterprise investment based on evaluation of industry-related capital flow risks

Yashin S.N. Doctor of Economic Sciences, Professor, Head of the Innovation Activities' Management Department, Nizhniy Novgorod State Technological University named after R.E. Alekseev ( rectorat@nntu.nnov.ru )

Koshelev E.V. associate professor, Nizhny Novgorod State University by N.I. Lobachevskiy ( ekoshelev@yandex.ru )

Journal: Finance and Credit, #28, 2009

The article covers the evaluation methods of efficiency of enterprise investment based on evaluation of industry-related capital flow risks. Statistical games principle, namely the modified Hurwitz criterion is used in risks evaluation. This method allows singling out the preferences acceptable for risk-averse investors, not inclined to risking, aggressive investors, inclined to risking and risk-neutral investors. Received this way a total picture of capital mobility risk in economic brunches can be useful to any investors, including organs of government regarding a direction of investment streams of economy sectors support.


Risk distribution between participants of project and its impact on investment attractiveness

Trifonov Iu.V. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( decanat@ef.unn.ru )

Iashin S.N. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Koshelev E.V. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Journal: Financial Analytics: Science and Experience, #24, 2014

The article deals with an impact of risk distribution between the main participants of project (investors and creditors) on its investment attractiveness. The authors demonstrate that the taking into account of liabilities risk assumed by creditor, leads to an insignificant increase in project attractiveness for an investor. The article points out that if creditor uses the monopoly position in the market and unreasonably enhances credit interest rate, it significantly reduces project attractiveness to an investor.


Risk distribution between participants of project and its impact on investment attractiveness

Trifonov Iu.V. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( decanat@ef.unn.ru )

Iashin S.N. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Koshelev E.V. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Journal: Digest Finance, #3, 2014

The article deals with an impact of risk distribution between the main participants of project (investors and creditors) on its investment attractiveness. The authors demonstrate that the taking into account of liabilities risk assumed by creditor, leads to an insignificant increase in project attractiveness for an investor. The article points out that if creditor uses the monopoly position in the market and unreasonably enhances credit interest rate, it significantly reduces project attractiveness to an investor.


Taking note of inflation on change of cost of an Asian real option

Yashin S.N. the Doctor of Economics, professor, the head of the department of management of innovative activity, the Nizhny Novgorod state technical university of R. E. Alekseev ( jashin@52.ru )

Koshelev E.V. Candidate of Economic Sciences, the associate professor of the public and municipal administration, the Nizhny Novgorod state university of N.I. Lobachevsky ( ekoshelev@yandex.ru )

Podshibyakin D.V. the graduate student of chair of economic informatics, the Nizhny Novgorod state university of N.I. Lobachevsky ( dimitry.neskazhu@yandex.ru )

Journal: Finance and Credit, #6, 2014

In article extent of influence of a difference between a rate of inflation and a risk-free rate on investments on the accuracy of estimation of cost of an Asian real option is established. It is shown on an example that in case of an advancing rate of inflation of profitability of risk-free investments, characteristic for Russia, the option assessment in a trinomialny lattice will be lower than an assessment in a binomial lattice. The result has practical value for analysts, considering that the trinomialny model is more exact discrete model, than binomial.


Development and justification of financial plans for upgrading company's equipment based on methods of real options valuation

Trifonov U.V. Doctor of Economics, Professor, Dean of the Economic Faculty, the Nizhniy Novgorod State University named after N.I. Lobachevsky ( decanat@ef.unn.ru )

Yashin S.N. Doctor of Economic Sciences, Professor, Head of the Department of Innovation Management, the Nizhniy Novgorod State University named after N.I. Lobachevsky ( jashin@52.ru )

Koshelev E.V. PhD in Economics, Associate Professor, the Department of State and Municipal Management, the Nizhniy Novgorod State University named after N.I. Lobachevsky ( ekoshelev@yandex.ru )

Journal: Finance and Credit, #25, 2013

A method for decision of the problem of financial mission statement to evaluate effects of projected upgrading equipment of a manufacturing company is offered. For this the project is analyzed as an Asian real option with constant business volatility. The problem is solved using the Black-Scholes model, a refined and modified binomial model and a modified trinomial model. It is demonstrated that the most accurate valuation of the option and the entire project in general is provided by the trinomial model.


An index method for formation of a corporation's investment program with a limited budget of financing

Iashin S.N. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Koshelev E.V. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Podshibiakin D.V. Lobachevsky State University of Nizhny Novgorod - National Research University, Nizhny Novgorod, Russian Federation ( dimitrypodsh2014@yandex.ru )

Journal: Finance and Credit, #24, 2014

The article presents an index method of formation of an investment program of a corporation in the conditions of a limited budget of financing, allowing making the program on the basis of an assessment of resultant efficiency of all complexes of investment projects. The authors consider the general profitability index of TP and the general profitability modified index of TMPI. The paper notes that such indexes allow making a more effective investment program of projects in comparison with the classical index approach which is based on an assessment of modified indexes of profitability of MPI projects separately. The work offers the results helpful to investors pursuing individual investment objectives.


The assessment of organizational innovation of the company based on differential cash flow

Yashin S.N. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Trifonov Yu.V. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( decanat@ef.unn.ru )

Koshelev E.V. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Journal: Financial Analytics: Science and Experience, #8, 2017

Importance The paper focuses on the problems of innovation profitability assessment. Organizational innovation is important for the companies as well as technical and technological ones.
Objectives The study aims at creating a relevant methodology allowing to estimate the efficiency of organizational innovations to choose a favorable version of similar administrative decisions from a set of the alternatives.
Methods We used the method of differential cash flow which represents the difference between the alternative and basic versions of organizational decision. For the solution of direct and inverse problems, we applied for the computational methods and computer modeling.
Results Besides the evaluation of the efficiency of organizational innovation, we have also solved the inverse task of calculation of the average debts maturity and current productive costs.
Conclusions and Relevance Use of a differential cash flow can have a practical application for evaluating the efficiency of various projects which have no individual commercial result.


Capabilities for creating the intelligent electricity metering system in Russia and its development prospects

Remizova T.S. Financial Research Institute of Ministry of Finance of Russian Federation, Moscow, Russian Federation ( tttatia@yandex.ru )

Koshelev D.B. Trading System Administrator of Wholesale Electricity Market Transactions, Moscow, Russian Federation ( dmk79@list.ru )

Journal: National Interests: Priorities and Security, #2, 2018

Importance The intelligent electricity metering system in Russia is a priority and crucial mission for further development and improvement of the power system. To complete the task, an in-depth analysis shall be conducted to understand national capabilities and determine what actions shall be performed to implement it throughout the country.
Objectives We explore global practices of creating intelligent metering systems and determine the current situation in Russia from perspectives of such plans.
Methods The research is based on methods of logic and statistical analysis.
Results We analyze the way intelligent metering systems are created in Europe and the USA and underline the specifics of the regulatory framework for such systems in respective countries. We found out the need to elaborate the legislative framework in Russia and evaluate the feasibility of all components. There should be the single concept and technical requirements.
Conclusions and Relevance If the intelligent metering system is created and implemented ubiquitously, this will help to scale the system not only for the electricity market, but also resource data collection services (heat and water). It will ensure the transparency of energy metering, energy supply reliability, prompt access to metering data, controllability of energy supply processes, security of the energy system.


Using a Synthetic Strangle to Manage Stock Market Risk

Yashin S.N. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Koshelev E.V. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Sokolov V.V. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( sokolov2w@gmail.com )

Journal: Digest Finance, #3, 2017

Importance Options are a representative example of derivative securities that are applied to mitigate investors’ risks. Considering contradictions and discrepancies arising from changes in the options price due to the fluctuating price for primary securities, rather than the flat exercise price for the option, investors seek possible combinations of securities so to reduce equity risks. The article considers a synthetic options strategy – a synthetic strangle.
Objectives The research models a synthetic strangle and applies it in practice using stocks of LUKOIL Oil Company.
Methods The research involves methods of logic and statistical analysis.
Results We apply a symmetrical binomial lattice to determine the synthetic strangle price. Based on a binomial model, we build the model of LUKOIL’s stock price movement and consider the case of synthetic strangle duplication by constructing a portfolio of stocks and bonds, which generates the same cash flows as options.
Conclusions and Relevance It is feasible to use a synthetic strangle in a situation when market stock price movements are uncertain and investors protect their capital against unexpected fluctuations in the stock market by purchasing a synthetic option. We also found break-even points for the investor.


Using a Synthetic Strangle to Manage Stock Market Risk

Yashin S.N. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( jashinsn@yandex.ru )

Koshelev E.V. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( ekoshelev@yandex.ru )

Sokolov V.V. National Research Lobachevsky State University of Nizhny Novgorod, Nizhny Novgorod, Russian Federation ( sokolov2w@gmail.com )

Journal: Finance and Credit, #21, 2017

Importance Options are a representative example of derivative securities that are applied to mitigate investors’ risks. Considering contradictions and discrepancies arising from changes in the options price due to the fluctuating price for primary securities, rather than the flat exercise price for the option, investors seek possible combinations of securities so to reduce equity risks. The article considers a synthetic options strategy – a synthetic strangle.
Objectives The research models a synthetic strangle and applies it in practice using stocks of LUKOIL Oil Company.
Methods The research involves methods of logic and statistical analysis.
Results We apply a symmetrical binomial lattice to determine the synthetic strangle price. Based on a binomial model, we build the model of LUKOIL’s stock price movement and consider the case of synthetic strangle duplication by constructing a portfolio of stocks and bonds, which generates the same cash flows as options.
Conclusions and Relevance It is feasible to use a synthetic strangle in a situation when market stock price movements are uncertain and investors protect their capital against unexpected fluctuations in the stock market by purchasing a synthetic option. We also found break-even points for the investor.


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