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On ensuring the banking sector's stability under sanctions to attain financial security

Fedorova O.A. State University - Education-Science-Production Complex, Orel, Russian Federation ( foaorel@mail.ru )

Skorlupina Yu.O. State University - Education-Science-Production Complex, Orel, Russian Federation ( yu_nauka@mail.ru )

Journal: National Interests: Priorities and Security, #16, 2015

Importance Whereas the Russian economy is undergoing a crisis, the national banking sector demonstrates unstable performance, and the leading scientists and analysts pay great attention to the ways of reaching the national security, it is very relevant and reasonable to consider the matter of ensuring the banking sector stability, concurrently with financial security.
     Objectives The objective of the research is to examine how the banking sector and its condition influence the process of ensuring Russia's financial security, and to identify approaches to sustaining the banking sector stability and reaching the financial security. The research pursues the following tasks: to find the relation between the banking sector stability and financial security of the State; to analyze the current position of the banking sector; to elaborate steps for detecting hazardous situations in the banking sector in order to ensure its stability and reach the financial security of the State.
     Methods Using statistical methods, we reviewed the position of the Russian banking sector. We determine a set of leading indicators that may be considered as early warning for the banking system to detect crisis threats beforehand and ultimately ensure the financial security.
     Results We find how the banking system stability and financial security of Russia relate to each other. We prove that the current position of the Russian banking sector cannot be qualified as stable and sustainable, and figure out that the leading indicators are the main tool to spot crisis situations in the banking sector.
     Conclusions and Relevance We conclude that the system of leading indicators can serve as an early warning mechanism to signal a crisis arising in the banking system and therefore to prevent it, ensuring the banking sector stability and financial security of the State.


Companies that manage investment portfolios of non-governmental pension funds: the main trends and prospects

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Sedykh D.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( d.sedykh@list.ru )

Journal: Financial Analytics: Science and Experience, #30, 2015

Importance The managing company invests retirement savings and reserves, considering the regulator's restrictions and contracts with Pension Funds. As their main objective, managing companies are responsible for effective portfolio management by selecting the most promising issuing organizations that meet credit quality criteria, and striving for the maximum rate of return.
     Objectives The research analyzes portfolios and operations of Pension Fund managing companies. The analysis relies upon quarterly reports of 30 managing companies of the Russian Pension Fund.
     Methods We explore trends in economic indicators within 2004 through 2014. The research investigates trends in assets transferred on terms of trust and analyzes portfolios of managing companies (main types of assets in the managing company's portfolio, analysis of the rate of return on the aggregate investment portfolio). We also examine factors that influence employees' performance (salary, number of retirement savings management contracts with private pension funds) and review financial results.
     Results Following the analysis, we have found out that the portfolio efficiency and the managing company's performance, respectively, were affected with such assets as shares of open joint stock companies and bonds of the Russian profit-making entities. It refers to assets generating low dividend yield and high risk from revaluation of assets. Most companies try to consider this risk and mitigate it by placing or depositing their funds with credit institutions.
     Conclusions and Relevance Managing companies strive to increase the market value of investment portfolio by raising the value of its assets as a whole, but often neglecting such permitted financial instruments as bonds of external bond loans of the Russian Federation, government securities of the Russian Federation.


Analysis of factors affecting dividend policy in the Russian Federation

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Zavozina D.V. OOO PKB "Inzhproekt" (design center), Moscow, Russian Federation ( arkdarya@yandex.ru )

Journal: Economic Analysis: Theory and Practice, #44, 2014

The article examines the factors affecting the dividend policy in the Russian Federation, related to financial and economic indicators of a company, macroenvironment and company's policy with respect to dividends. The financial and economic indicators comprised the financial leverage and the Tobin coefficient. As the macroenvironment, the authors consider indicators of the crisis economy, inflation, taxes and industry sectors. The internal factors affecting dividend policy comprised depreciation allocations, equity capital and investment policy. Within each of the three blocks, the paper identifies sub-blocks. Each of the sub-blocks defines the corresponding hypothesis of tests. An empiric base of research included 516 observations within the period of 2002-2012, among which 246 represent observations with the absence of dividend payments. All financial indicators were taken from the Bloomberg and Ruslana database. The methodology includes the quantal-response method and a binary tree of classification. The results demonstrate that the financial leverage and the Tobin coefficient directly impact on paying dividends by a company. The paper also considers the direct link of the hypotheses associated with inflation changes in the portion of asset value. However, the hypothesis related to the global financial crisis impact on dividend payment has not been confirmed. The article identifies an inverse relationship between dividend payment and tax rate. The paper confirmed the hypothesis about the impact of capital growth on dividend payments. The calculated model confirmed the inverse dependence of dividend payment and amortization deductions. In the binary tree classification, the authors identified three terminal nodes of receiving dividend payments: for example, the first terminal node reflects a situation under which in case of increases in tax and capital payments, the probability of dividend payment will be almost 100 percent. The developed models enable to predict company's annual dividend payment with a high degree of probability.


Evaluation of investment projects in electrical power engineering using real options

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Journal: Economic Analysis: Theory and Practice, #14, 2015

Importance Investment attraction is one of the principle goals the entities pursue. Unusual solutions will enable the Russian entities to evolve notwithstanding that the cost of securing loans rises. Investment project planning always requires a feasibility study of any project. Basically, for these purposes, the Net Present Value (NPV) method and Internal Rate of Return (IRR) are applicable, since they relate to the discounted cash flows.
     Objectives The research is to compare the application of standard evaluation methods based on the discounted cash flows principle with non-standard methods using information technologies. The article illustrates the project: The Construction of the New Hydro Power Plant Combined Cycle Power Unit.
     Methods The modern information technologies allow using the quantitative methods to assess the risks associated with the investment approach. The methods eliminate weaknesses of the standard approach. The article discusses three methods of the quantitative approach to risk assessment, i.e. decision tree, Monte Carlo method (simulation modeling), and the theory of options.
     Results As set forth in the conventional evaluation methods, the project should be declined, if it has negative NPV, low rate of return, without paying back. As for alternative evaluation methods and the Monte Carlo method, in particular, the probability of NPV>0 is close to 0.85. According to the decision tree method, NPV may reach RUB 3,624 million provided the top management makes correct key decisions. According to the Black-Scholes model, RO will equal RUB 890.88 million.
     Conclusions and Relevance When the conventional pattern has the analysis of strategic opportunities and conditional value integrated and embedded, it will unite the potential of the strategic and financial analysis, thus creating an analytical tool that is consistent with the New World Economy associated with risks and uncertainties. The article reviews information technologies, which may be applicable to evaluate investment projects.


The modified Taylor rule for the Bank of Russia based on mode switching

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Mukhin A.S. Financial University under Government of Russian Federation, Moscow, Russian Federation ( mukhin.alexey@gmail.com )

Dovzhenko S.E. Saint Petersburg State University, St. Petersburg, Russian Federation ( serg.dovzhenko@gmail.com )

Journal: Finance and Credit, #2, 2015

Russian and foreign studies prove that the policy of central banks can be described by one or another version of the Taylor Rule. The Taylor Rule is a rule of a monetary policy, which defines how the interest rate changes in case of a change in GDP and inflation indicators. In particular, it states that for each percent of inflation growth a central bank has to increase the nominal interest rate by more than one percentage point. This aspect is often called the Taylor principle. The authors made an empirical assessment of the efficiency of the Bank of Russia policy and built an econometric model based on the nonlinear least square method. The authors used the data on inflation rate and GDP size from the official site of the Federal Service of State Statistics, and the inflation data - from annual reports of the Bank of Russia on principal direction of the unified State monetary policy. The authors calculated the GDP gap as a difference between the quarterly GDP value and its trend generated with the help of the Hodrick-Prescott filter. The results of the built model enabled to conclude that all indicators turned out to be significant. According to the original Taylor's work, the coefficient of inflation gap is 1.5, and the coefficient of GDP gap is 0.5. In our case, the coefficient of inflation gap was lower and made 1.13, and the coefficient of GDP gap - 0.4. On the basis of our calculations (the Chow test and evaluation of two econometric models for two sub-samplings: during pre-crisis and post-crisis periods), we found out that it is incorrect to apply the standard Taylor Rule to the Russian economy during crisis periods. We believe, it is necessary to develop a Taylor Rule, which the Bank of Russia can use in inflation targeting based on crisis situations.


Optimization of pension savings portfolios

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Journal: Financial Analytics: Science and Experience, #10, 2015

Importance The study defines a model that can be used with a particular strategy taking into account the market situation (passive, aggressive and balanced ones).
     Objectives I used the assets that have been authorized by the Russian legislation in respect of pension savings, and also those assets, which are not authorized by the Russian legislation provisions.
     Methods Having built the most popular models and methods of formation of an investment portfolio, I can conclude as follows: the quasi-Sharpe model is more applicable for passive control, which allows to find an effective portfolio with minimum risk and which is best suited to work with in an unstable market, such as the Russian equity market. I assume that Huang and Litzenberger methods are the methods, which enable to find an effective portfolio among many portfolios, which satisfies an investor in terms of rate of returns. In addition, this method has no limits on positions, which permits to open long position (buy) and short position (sell). Portfolio, which was compiled in the research, includes assets, which are not allowed for investment, which showed 10.05% return on assets for 2013 period, which are 3. 67% higher than the portfolio of the largest non-government pension fund of the Russian Federation. The largest share in portfolio, which was formed by the quasi-Sharpe method belong to corporate and municipal bonds.
     Results The paper underlines that 9 % annual yield to match the selected benchmarks underlies the need for an increase of the number of instruments that can be invested in pension savings. Low yield of permitted instruments leads to an increase in the share of more profitable assets in an investment portfolio. Thus, an optimal calculation portfolio weighted second-tier shares amounting to 14.11%. I emphasize that despite the fact that these securities are not allowed for investment to the National Pension Fund (NPF) such practice must be introduced at the legislative level.
     Conclusions and Relevance I consider that this procedure can be performed at the expense of expanding of the list of assets of investable pension savings.


Assessment of external and internal factors affecting the effectiveness of activities of pension management companies

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Didenko A.S. Financial University under Government of Russian Federation, Moscow, Russian Federation ( alexander.didenko@gmail.com )

Sedykh D.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( d.sedykh@list.ru )

Journal: Financial Analytics: Science and Experience, #33, 2014

The article provides an estimation of efficiency of activities of 46 companies, which managed pension savings for the period of 2004-2012 on the basis of the DEA (Data Envelopment Analysis) methodology application. The authors point out that the used DEA model considered the portfolios of the management companies as a unit of decision making, which transform the risk, human and financial capital in an active returns and quality of diversification. The paper describes the measure of incoming risk, which was assumed as follows: the average for the quarter conditional value at risk (Conditional VaR) of the CVaRs portfolio. With respect of the measure of human capital, the paper assumes portfolio management fees within the framework of the activities of a particular investment portfolio and as a measure of financial capital - net assets value (NAV). The quality of portfolio NAV diversification was determined through the covariance of proportions of asset portfolio. The active returns, defined as the excess return over the benchmark yield portfolio (yield of benchmark applications of asset classes in the portfolio) served as earnings yield. The authors emphasize that the panel regression facilitated detection of the external factors (the exchange rate index of the Moscow Interbank Currency Exchange (MICEX) and the interbank sector rates for loans placement) and internal factors (balanced strategy of investment portfolios management, life of the portfolio and seasonality), which affect the efficiency of the activities of the asset management companies. On the basis of calculations, the paper revealed that the most optimal investment strategy is balanced strategy and that a large proportion of assets such as the blue-chip stocks and the amount of monetary assets in the accounts impacted negatively on the performance of portfolio management. The authors identify the seasonality in the investment portfolio management and underline that the third quarter turns out as the most difficult quarter for company. The lifetime of the investment portfolio had a negative impact on the efficiency of its management. This is due to the increase in total net asset value, as well as because of the restrictions imposed by trust agreements that reduce the degree of assets diversification.


The modified Taylor Rule for the Bank of Russia based on mode switching (ending)

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Mukhin A.S. Financial University under Government of Russian Federation, Moscow, Russian Federation ( mukhin.alexey@gmail.com )

Dovzhenko S.E. Saint Petersburg State University, St. Petersburg, Russian Federation ( serg.dovzhenko@gmail.com )

Journal: Finance and Credit, #3, 2015

The policy of central banks of different countries varies considerably and notably during economic crisis. In particular, the authors proved the impropriety of the standard Taylor Rule application for Russia during the crisis period of the Russian economy. Therefore, in this paper the authors develop the modified Taylor Rule based on switching between the modes of economic situation. On the basis of made calculations, the authors put forward an assumption that for assessing the effectiveness of the Bank of Russia monetary policy it is more expedient to use the standard Taylor Rule during the pre-crisis period from 2001 to 2008. However, on the other hand, for the crisis period from 2008 to 2011, it is better to use an alternative monetary policy rule, which includes an index of financial stress in the economy, but at the same time eliminates inflation indicator. The authors used two indices as variables of financial stress, taking into account their complexity and availability for different countries, i.e. the IMF index of financial stress and the financial stress index of the Federal Reserve Bank of Kansas City (the Kansas City FED Financial Stress Index). An important advantage of these stress indicators is the fact that they can detect small stress periods, which do not lead to full-blown crisis, and that they were not considered in the studies based on binary crisis variables. The calculations of the authors show that monetary policy is well described by the switching regimes model. For example, during the crisis, this model shows more accurate prediction than the standard Taylor Rule. The model with IMF index of financial stress is more suitable for the Russian economy. The authors' model can help to evaluate the effectiveness of each monetary policy instrument and its degree of influence during different regimes, as well as to determine what tools can specifically switch the regimes or maintain the desired regime. Estimation, analysis and timely adjustment of interest rates will lead to greater flexibility of exchange rate and will help to reduce inflation and inflationary expectations and, consequently, contribute to a smoother transition to inflation targeting.


Evaluating the effectiveness of arbitration pricing of Moscow Stock Exchange and London Stock Exchange

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Popov V.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( vjpopov@fa.ru )

Sedykh D.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( d.sedykh@list.ru )

Afanas'ev D.O. Financial University under Government of Russian Federation, Moscow, Russian Federation ( dmafanasyev@gmail.com )

Journal: Financial Analytics: Science and Experience, #31, 2014

The paper considers the possibility of arbitration strategy regarding the depository receipts at the LSE IOB and the shares on the Moscow Stock Exchange. The main reason for choosing this particular area for this article is that the most of the trading on the LSE IOB is performed using transactions of the shares of the Russian companies. In December of 2013, the total volume of trading on the IOB amounted to 19.7 billion U.S. dollars, at that time, the trading volume of depository receipts of the Russian companies amounted to 17.2 billion U.S. dollars. Building of models of arbitration strategy requires defining of its parameters and inputting data on the ground of which you can later determine the break-even spread. Such data include as follows: the amount of the arbitration position, which reflects the cumulative amount of the open deals in both markets, which reaches 1 000 000 U.S. dollars; the price of the depositary receipts, which is determined individually for each receipt, in US dollars; the adjusted value of the local share of the LOC; brokerage commission when trading on the Moscow Stock Exchange and the London Stock Exchange is 0,02% of the transaction amount for both trading platforms. Having built an arbitration model for each security, the final list of the securities was defined, according to which in 2013, one can implement the strategy of spatial arbitration earning a profit. Based on the analysis of the break-even spreads, which have been identified for the period of 2013 the profitability of the initially invested funds amounted to 49%, which is a significant indicator for the relatively risk-free model. The program aimed at the accelerated converting of the local shares into depositary receipts, which was introduced in 2014. The program will allow cutting back on the length of the conversion operation from the several days to a couple of hours within one day. The article demonstrates the potential economic effect of the arbitrage transactions using the example of the most liquid financial instruments with dual listing. The paper points out that the aforementioned effect was equal to 55,4%. The authors state that the highest increase of the margin was demonstrated by the more expensive securities, such as shares and depository receipts of OAO Lukoil and OJSC Uralkali.


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