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On market risk management in commercial banks under the new Basel committee requirements

Plotnikova I.V. Saint Petersburg State University of Economics, St. Petersburg, Russian Federation ( plotnikova_i.v@mail.ru )

Journal: Finance and Credit, #18, 2015

Subject Problems associated with market risk management by commercial bank and building the effective system of risk management are becoming more relevant in connection with the implementation of the new requirements of the Basel Committee on Banking Supervision.
     Objectives The aim of the study is to identify the tasks of bank's management when creating an effective risk management system for market risk management under the requirements of the Basel Committee on Banking Supervision.
     Methods In this paper, I used scientific methods of research.
     Results Based on the theoretical analysis of international consultative documents, regulations of the Bank of Russia and available research findings on the topic, I identified the required characteristics of the risk management system in accordance with the requirements of the Basel Committee on Banking Supervision. The paper emphasizes the main areas for bank managers to improve the efficiency of market risk management. I present the system of interaction of the key bank units in the process of market risk management and list the requirements to internal management reporting and IT-infrastructure of banks.
     Conclusions and Relevance The findings lead to the conclusion that building an effective risk management system to manage market risk in accordance with international requirements is possible only if the bank creates a clear-cut and regulated system of interaction between the bank units, bank management and Board of Directors. It is also necessary to develop a set of criteria for management reporting on risks, the IT-infrastructure, as well as an incentive program for the bank management to improve risk controls.


Comprehensive analysis of consolidated group and parent company

Plotnikova V.V. candidate of economic sciences, associate professor of chair analysis and audit of the Saratov State Socio-Economic University ( veryn@yandex.ru )

Journal: Economic Analysis: Theory and Practice, #32, 2010

At the article the indices of the activity of the consolidated group as united economic formation and the maternal company as individual legal person are evaluated.


Using the concept of economic entity at the analysis of goodwill in holding structures

Plotnikova V.V. PhD in Economics, associate professor of chair analysis and audit, Saratov state socio-economic university ( veryn@yandex.ru )

Journal: Economic Analysis: Theory and Practice, #42, 2011

In the article the holding companies with use of two different methods of recognition of business reputation are analyzed. As a result of the analysis it is concluded that holdings with the big amount of goodwill not always to reach more synergetic effect.


Using the concept of economic entity at the analysis of goodwill in holding structures

Plotnikova V.V. PhD in Economics, associate professor of chair analysis and audit, Saratov state socio-economic university ( veryn@yandex.ru )

Journal: International Accounting, #2, 2012

In the article the holding companies with use of two different methods of recognition of business reputation are analyzed. As a result of the analysis it is concluded that holdings with the big amount of goodwill not always to reach more synergetic effect.


Accounting of hedging by forward contracts

Plotnikova O.V. PhD in Economics, Associate Professor of department "Accounting and Finance", the Balakovsky Institute of Economy and Business (branch), the Saratov State Socio-Economic University ( vcplotnikov@yandex.ru )

Journal: International Accounting, #30, 2012

Accounting for hedging forward contracts is the simplest mechanism to hedge the fair value of assets, since it involves only two parties to the transaction - the buyer and seller and reflects the changes in both the fair value of the contract, and derivative - the currency of its component.


Accounting of transactions with option contracts

Plotnikova O.V. candidate of economic sciences, associate professor of chair of accounting and finance, Balakovo institute of economics and business (branch) Saratov state socio-economic university ( vcplotnikov@yandex.ru )

Journal: Economic Analysis: Theory and Practice, #43, 2012

The accounting of hedging by options is generally the accounting of operations on exchange trade in actions, but not actions as those, and the options - contracts on purchase and sale of actions. It is a transfer of the right to buy and sell shares. These and other features of the accounting transactions in options are presented in the article.


Account of transactions with option contracts

Plotnikova O.V. PhD in Economic Sciences, Associate Professor of department "Accounting and Finance", the Balakovo Institute of Economics and Business (branch), the Saratov State Socio-Economic University ( vcplotnikov@yandex.ru )

Journal: International Accounting, #46, 2012

The account of hedging by options is generally the accounting of operations on exchange trade in actions, but not actions as those, and the options - contracts on purchase and sale of actions. It is a transfer of the right to buy and sell shares. These and other features of the accounting transactions in options are presented in the article.


Accounting for hedging futures transactions

Plotnikova O.V. PhD in Economics, Associate Professor of department "Accounting and Finance", the Balakovsky Institute of Economy and Business (branch) of the Saratov State Social-Economic University ( vcplotnikov@yandex.ru )

Journal: International Accounting, #31, 2012

Accounting for hedging in futures contracts is a complicated mechanism of hedging the fair value of assets, except as it affects the two parties to the transaction - the buyer and the seller is also Exchange, which is the guarantor of its execution, and accounting process changes reflect both the fair value of the contract, and revenues and expenditures in futures


Accounting cash flow hedges swap transactions

Plotnikova O.V. PhD in Economics, Associate Professor, Department "Accounting and Finance" the Balakovo Institute of Economics and Business (branch), the Saratov State Social-Economic University ( vcplotnikov@yandex.ru )

Journal: International Accounting, #11, 2013

Cash flow hedge accounting for the swap transactions is selected the first group of financial instruments as an example, most clearly shows an accounting reflection of changes in the cash flows of financial assets (currency), and the possibility of derivative instruments to reduce the risk of changes in market conditions.


Analysis of factors influencing the profitability of consolidated capital

Plotnikova V.V. PhD in Economics, associate professor of chair "Analysis and audit" Saratov state socio-economic university ( veryn@yandex.ru )

Journal: Financial Analytics: Science and Experience, #37, 2012

In the research it is proved that profitability of the consolidated capital is influenced by the following factors: profitability of sales, turnover of assets, financial leverage, spread and factor of minority shareholders. The application of factor of minority shareholders allows to reflect extent of influence of not supervising share on productivity of the consolidated group and possibility of influence of existence less than 100 % of control in subsidiaries.


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