Учет фактора валютного риска в теории ценообразования активов
A large number of research papers on relation between currency risk and firms’ value have been published during last several decades. Researches acknowledged that currency risk could be a pricing factor. In this paper we investigate the historical development of models within the pricing theory. Also, we come to conclusion that dynamic, conditional and international asset pricing models were considered among the best for identify the impact of exchange rate risk in developed and emerging markets. There is certain specific in currency exposure research. In this paper we considered different methodological aspects for identify the impact of exchange rate and mentioned details of empirical analysis in emerging markets.
World fi nancial crisis and increased volatility of major economic indicators raised attention to the problem of fi nancial risk management in corporations, and to the possibilities of fi nancial derivatives usage for hedging. In perfect markets hedging by means of derivatives allows corporations to mitigate fi nancial risks allowing for minimum costs. Current paper examines factors that restrict usage of derivatives for hedging currency risks by corporations on Russian fi nancial market. It is concluded that on Russian market it is reasonable to use internal facilities as basic method of currency risk management: asset/liability management, regulation of debt
currency structure, diversifi cation, etc. Derivatives should be used in addition to these facilities in very limited volumes for hedging the most predictable sources of risk.
Supply chain management is rather new scientific field that reflects the concept of integrated business planning. This concept should be experts and practitioners in logistics and strategic management. Today, integrated planning to become a reality thanks to the development of information technology and computer technology. At the same time to achieve a competitive advantage is not enough high-speed, low-cost data transfer process. In order to effectively apply information technology tools necessary to develop a quantitative analysis of the effectiveness of supply chain management. The mam element of this tool are optimization models that reveal the complex interactions, the wave and the synergies that arise in supply chain management. In this article we consider one of the classes of such models - the so-called dynamic models of conveyor systems, processing of applications.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.