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Modeling short-term effects of trends in the foreign exchange rate through the IFEER concept

Kuz'min A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( a_kuzmin@rambler.ru )

Journal: Finance and Credit, #6, 2019

Subject Mathematical methods are in active use for foreign exchange rate modeling. However, even classical scholars do not give account of short-term trends in foreign exchange rates and respective aspects sufficiently. It is necessary to consider fundamental factors of such trends.
Objectives The study models and investigates trends in the foreign exchange rates in two equal and mutually related economies through the lens of free floating. The trends are based on further development of my own concept for modeling foreign exchange rates through International Flows Equilibrium Exchange Rate (IFEER).
Methods The study relies upon fundamental methods of the economic theory, principles of national bookkeeping, classical methods of mathematical analysis and elements of economic and statistical analysis.
Results I mathematically formalized functional dependencies which, economically, have the natural functionality with respect to a set of key determinants for setting foreign exchange rates. Subsequently, I inferred the ultimate dependency of the foreign exchange rate as part of the a set of factors given there is a function of explosive changes in foreign exchange rates during the crisis period.
Conclusions and Relevance I examined how crisis phenomena influence the model in the foreign currency market in a short run. Based on the economic and mathematical modeling, I made conclusions on the nature of crisis disparity and quantified the impact of short-term effects of trends in the USD/RUB rate.


Accounting for price and exchange differences of bonds according to IFRS requirements

Kuz'min A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( a_kuzmin@rambler.ru )

Journal: International Accounting, #4, 2017

Importance The article addresses methodological aspects of measurement and accounting for cumulative results of revaluation of foreign currency bonds arising from the requirements of international financial reporting standards IAS 39, IFRS 7, IFRS 9 and IAS 21.
Objectives The aim of the study is to develop an algorithm and measurement tools for foreign currency bond accounting, and provide recommendations for their practical application.
Methods The study employs system analysis, models of financial mathematics, situational and dynamic approaches, tabular interpretation of information and factual material.
Results I developed tools for international corporate bonds accounting and measurement. The measurement of financial result of the financial instrument revaluation for the purpose of financial statements preparation is based on the algorithm from the standpoint of accounting process involving a currency component and uncertainty of the goals of ownership.
Conclusions Scientific and practical significance of the study is determined by the development of applied scientific tools, including accounting and valuation algorithms and procedures, process models that can be used in practical work of accounting departments of financial and non-financial institutions when preparing IFRS-based financial statements.


Accounting for held-to-maturity debt financial investment under IFRS

Kuz'min A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( a_kuzmin@rambler.ru )

Journal: International Accounting, #33, 2014

Importance Given that the domestic debt market continues growing in terms of transaction volume, the number of participants and varieties of financial instruments, as well as in terms of a number of related factors, such as an obligation of audit while organizing securities business in the Russian and international stock markets, I emphasize an increasing demand for reliable information disclosure in financial statements.
     Objectives First of all it concerns transactions with debt securities and necessitates a scientifically-based improvement of accounting instruments, prepared in compliance with the IFRS.
     Methods When developing accounting procedures and methodological recommendations for their application, I used various complementary methodological approaches, including a system approach in its subject-object and functional and structural aspects, as well as structural, dynamic and situational analyses, models of financial mathematics, and a tabular interpretation of informational and factual material.
     Results In the paper, I consider the accounting procedure for debt financial investments with a relatively complex irregular payments structure based on the concept of amortized cost under the effective interest method. In order to provide more complete analytical information for bond accounting, I propose to determine the cumulative amortized cost and to extract from it the net amortized cost taking into account the accrued coupon yield.
     Relevance The study is significant as it has developed application programming tools that include a procedure, models, algorithms, and recommendations. The worked-out provisions may serve as a means to solve the tasks of IFRS financial statements generation by both financial institutions like investment and finance companies, commercial banks, and non-financial firms, i.e. domestic debt market players.


Principles of accounting for internal bond issues: international standards

Kuz'min A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( a_kuzmin@rambler.ru )

Journal: International Accounting, #12, 2015

Subject Under current conditions, Russian corporations and banks seek to expand both the types of corporate borrowings to diversify the entire financial resource base and sources of funding and the volume of borrowings in debt capital markets. Securities business in Russian and international stock exchanges entails toughening the requirements to reliability of information reported in financial statements during their preparation and auditing. First, the above applies to financial instruments in the form of borrowed capital, and debt securities, in particular. Therefore, it is crucial to improve science-based accounting and valuation tools when preparing financial statements under International Financial Reporting Standards.
     Methods
In the study, I used quantitative finance models, complementary methodological approaches, like system, dynamic, and situational analyses, tabular interpretation of informational and procedural materials.
     Results I have developed an accounting and valuation procedure for debt securities with a complex and highly irregular structure of payments (in particular, internal corporate bond issues), based on amortized cost and effective interest methods.
     Conclusions and Relevance
The developed application-oriented tools include models, algorithms and recommendations. They may enhance the reliability of accounting and reporting information, and be useful for accounting departments of many organizations (financial and non-financial institutions), domestic debt market participants in the process of IFRS-based financial statements preparation.


Russian Ruble exchange rate and the monetary policy: some results of 2014-2015

Kuz'min A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( a_kuzmin@rambler.ru )

Journal: Finance and Credit, #39, 2015

Importance The foreign exchange rate is a focal point of currency and monetary policies. It is reasonable to study the mid-term equilibrium trends in the Ruble rate and its critical and fundamental determinants by examining cash flows in Russia's balance of payments.
     Methods As part of my conceptual approach to modeling the international flows equilibrium exchange rate (IFEER), I examine how the Ruble exchange rate fluctuates in the presented system of fundamental endogenous and exogenous factors in the mid-run. I propose a method for configuring inner parameters of the model so to regulate the exchange rate at the macroeconomic level. For configuring purposes, I used the least square method implying standards of values under study.
     Results Based on the modeling results, I analyzed trends in the Ruble nominal exchange rate within 2013-2015 and determined the main reason for a drop in the US/RUB exchange rate within the period from December 2013 through February 2015. In the said period, a growth in consumer prices also influenced the result. I also should mention that a short-term drop in the real GDP had a very low effect.
     Conclusions and Relevance The research presents scientific novelty as it devises models, algorithms, and recommendations, which may prove useful to address macroeconomic regulation issues.


Accounting of domestic bonds: international standards

Kuz'min A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( a_kuzmin@rambler.ru )

Journal: International Accounting, #33, 2015

Importance Issue of domestic bonds and Eurobonds is often stipulated in issuing documents that permit both the issuer and holder of securities to perform activities contradicting the other party’s interests.
     Methods When devising tools for accounting and evaluating bond-secured loans and formulating methodological recommendations, I applied systems, dynamic and situation analyses, financial mathematics models, chart interpretation of information and procedures.
     Results The article presents accounting and valuation tools for domestic and corporate bond-secured loans in repo transactions with a part of issued securities and investors’ sale of bonds to the issuers when the offering is completed.
     Conclusions and Relevance The research results in scientific and applied tools that include process models, accounting and valuation procedures and algorithms, which accountants of financial and nonfinancial institutions may use to address financial reporting issues in line with IFRS.


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