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Risk assessment of bond reinvestment. Complimentary duration

Darushin I.A. St. Petersburg State University, St. Petersburg, Russian Federation ( )

Journal: Finance and Credit, #24, 2014

The article notes that investment in bonds leads to two types of risks depending on the investment's structure, and also on the future values of interest rates: interest-rate risk and risk of reinvestment. The investment analysis uses a number of methods for an assessment of interest risk. One of the most known methods is based on duration use. However there are no standard ways of an assessment of reinvestment risk. The author studies influence of interest rates of the results of investment. The paper presents risks of reinvestment depending on bond duration. The author offers a new indicator of reinvestment risk, i.e. complimentary duration. The work analyzes properties of this indicator and its permissible variations.

Russian issuers: challenges emerging market

Darushin I.A. Petersburg State University, St. Petersburg, Russian Federation ( )

L'vova N.A. St. Petersburg State University, St. Petersburg, Russian Federation ( )

Journal: Finance and Credit, #10, 2014

The article considers parameters of functioning of stock market are an important factor of economic development as the countries as a whole, and certain managing subjects. More it concerns the companies which have placed in the market the securities. The authors investigate the level of development of the Russian securities market in comparison with other countries, the list of its main disproportions locates. The paper analyzes the conditions of activity of the domestic company’s issuers from the point of view of their influence on stock market and nature of its development. The authors estimate the features of the national financial system connected with share sector on the basis of the revealed regularities.

Institutions and instruments of the emerging financial market

L'vova N.A. Saint Petersburg State University, St. Petersburg, Russian Federation ( )

Darushin I.A. Saint Petersburg State University, St. Petersburg, Russian Federation ( )

Journal: Finance and Credit, #2, 2019

Subject The paper discusses the issues related to emerging financial markets in the context of modern financial systems and methodological approaches to the assessment of financial development.
Objectives The paper aims to disclose the content and main characteristics of the emerging financial market in conjunction with the category emerging financial system and analyze the criteria to assess the level of financial development.
Methods For the study, we used the methods of logical analysis, theoretical generalization and systematization.
Results The paper identifies functional and institutional features of the emerging financial system and emerging financial market.
Conclusions An emerging financial market is part of the emerging financial system. The existing approaches to assess the level of development of the financial market do not consider the institutional and instrumental features of its functioning. The most important characteristic for an emerging financial market is the development of equity and debt and foreign exchange markets.

Investment project evaluation in the event of a threat to solvency (bankruptcy)

Darushin I.A. Saint-Petersburg State University, St. Petersburg, Russian Federation ( )

L'vova N.A. Saint-Petersburg State University, St. Petersburg, Russian Federation ( )

Journal: Financial Analytics: Science and Experience, #39, 2015

Importance The article deals with methodological aspects of investment project evaluation for arbitration management purposes. Insolvent debtor's investment activity has certain specifics; however, the methodological support for the corresponding analysis is not available. Draft federal standard for analysis of organization's financial position and results of its financial, economic and investment activities during procedures applied in bankruptcy cases does not solve the problem either.
     Objectives The study aims to provide a rationale for efficient methodological approaches to evaluation of investment projects of organizations going out of business (bankrupts).
     Methods Using the method of theoretical generalization, we examine specifics of investment analysis under insolvency, focusing on investment and operational phases of vested capital.
     Results Requirements to opinion preparation on debtor's financial position should include key performance criteria for investment projects. These criteria correspond with interpretation of investments in the context of generated cash flow. We present a unique methodology to substantiate investment decisions using a modified indicator of net present value.
     Conclusions and Relevance The proposed algorithm of evaluation may be useful for arbitration managers, as well as at pre-trial stages of crisis management of organizations demonstrating signs of financial distress.

Assessing the Russian financial market efficiency by a non-parametric method

Darushin I.A. St.Petersburg State University, St. Petersburg, Russian Federation ( )

L'vova N.A. St.Petersburg State University, St. Petersburg, Russian Federation ( lvova_n )

Journal: Finance and Credit, #48, 2014

Importance The paper addresses the theory and practice of financial market efficiency evaluation. The efficient market hypothesis, which has been strongly criticized recently, remains one of the basic financial conceptions. However, there are no common approaches to evaluating efficiency. Besides, the methodology of evaluating efficiency of emerging markets has been studied insufficiently, and this fact determined the purpose of the investigation.
     Objectives The article deals with some topical questions concerning weak-form efficiency of the Russian financial market. The hypotheses of the study included: firstly, testing normality of stock returns; secondly, evaluating if the returns follow the random walk model.
     Methods We carried out the hypotheses testing on the sample of 20 stocks of the largest Russian companies listed on the Moscow Stock Exchange, and by the RTS index. We chose the sector RTS-Standard to ensure comparability of the statistical data, since its rules did not change during the period of the study. The analyzed period was 4 years and 5 months. We applied the skewness and kurtosis analyses to test the yield distribution. In addition, we performed a number of formal tests by the criteria of Kolmogorov-Smirnov, Lilliefors and Shapiro-Wilk. We substantiated the evaluation methodology with the application of the nonparametric method taking into account the yield distribution. We chose the runs-test as a tool of the analysis.
     Results The assumption of normal distribution of stock returns was not confirmed. However, we proved that stock returns on the Russian market do not correspond to the random walk process.
     Conclusions and Relevance Despite the financial crisis, the Russian stock market has preserved a weak form of informational efficiency. This should be taken into account in the investment analysis and corporate financial diagnostics.

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