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Stress testing as method of improvement of market risk management

Ushvitsky L.I. Doctor of Economics, Professor, the Department of Economy and Account, the North Caucasian State Technical University ( fef@stv.runnet.ru )

Maleeva A.V. PhD in Economics, Associate Professor, Professor, the Department of Finance and Credit, the North Caucasian State Technical University ( kaffin@mail.ru )

Klimova O.A. Graduate Student, the Department of Finance and Credit, the North Caucasian State Technical University ( teffechka@yandex.ru )

Journal: Finance and Credit, #28, 2013

In the article it is noted that in connection with the crisis phenomena in world economy the problem of creation of an effective control system of market risks in commercial banks gained still big relevance. Stress testing is the key tool of a risk management and strategic planning. The commercial banks, which use the practice of stress testing and the results of stress tests for strategic decisions, overcome crisis more successfully. Parameters of stress testing and the methods developed by commercial banks are studied. Their practical assessment on the example of concrete bank is given. The conclusion is drawn on need of carrying out stress testing for improvement of a control system by market risks.


Market risks of commercial banks: estimation and analysis methods

Ushvicky L.I. doctor of economic sciences, professor, dean of faculty of economy and the finance, the North Caucasian state technical university ( fef@stv.runnet.ru )

Maleeva A.V. Cand. Econ. Sci., the senior lecturer, the professor of chair Finance and the credit, North-Caucasus state university ( kaffin@mail.ru )

Klimova O.A. the post-graduate student of chair Finance and the credit, North-Caucasus state university ( teffechka@yandex.ru )

Journal: Finance and Credit, #21, 2011

In connection with the crisis phenomena in world economy the problem of creation of an effective control system of market risks in commercial banks has got still the big urgency. The increase in volumes of the operations connected with market risks, and also complication of financial tools have caused increase of importance of the given problems in Russia. In article theoretical bases of the analysis of market risks of commercial banks, their essence and the maintenance are investigated. And also methods of an estimation of market risks on an example of concrete commercial bank are considered. The conclusion that it is necessary for banks to develop culture of management of risks which should be incorporated in all bank operations and politicians is drawn taking into account the international practice.


Securities portfolio selection using the risk margin

Maleeva E.A. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( eam21@tpu.ru )

Bel'sner O.A. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( belsner@tpu.ru )

Kritskii O.L. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( olegkol@tpu.ru )

Journal: Finance and Credit, #12, 2018

Subject The article considers the issues of securities portfolio building, using the risk margin value, or Value-at-Risk (VaR) measure.
Objectives The article aims to study the impact of risk margin on the amount of total capital and the optimal portfolio allocation. It is necessary to update the classical approach of Markowitz and adapt it to the current requirements in the banking and financial spheres.
Methods For the study, we used the Benati–Rizzi methodology and the mixed-integer linear programming algorithm.
Results We offer our own portfolio selection model taking into account the risk margin value. The article shows the portfolios selected according to the classical algorithm of Markowitz and taking into account the VaR constraints, as well as the results of comparison of the yield and value of two portfolios composed of the shares included in the MICEX 10 Index. The article also shows the results of calculating the risk and yield of passive portfolio investments.
Conclusions and Relevance The presented model of portfolio selection taking into account the margin risk value helps reduce initial investments, weaken the influence of stock market slump on the portfolio value, and increase the investment ex post return at the risk level comparable to the classical methodology of Markowitz. The use of the Benati-Rizzi method is convenient for creating a wide range of investment portfolios for unsophisticated investors with different risk aversion attitude.


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