Максиминное хеджирование европейского опциона на неполных рынках
Обозрение прикладной и промышленной математики. 2010. Т. 17. № 6. С. 940-942.
Силаев А. А., Хаметов В. М.
Операции с ценными бумагами и производными финансовыми инструментами: Учебно-методическое пособие для дистанционной формы обучения
Галанов В. А., Галанова А. В. М.: Российский экономический университет имени Г.В. Плеханова, 2012.
Added: Nov 6, 2012
Зверев О. В., Хаметов В. М. Обозрение прикладной и промышленной математики. 2011. Т. 18. № 2. С. 193-204.
Added: Apr 19, 2012
Исследование методологии оценки и анализ зрелости управления портфелями проектов в российских компаниях
Added: Mar 5, 2013
Зверев О. В., Хаметов В. М. Обозрение прикладной и промышленной математики. 2011. Т. 18. № 1. С. 26-54.
Added: Apr 19, 2012
Заплава А. В. В кн.: Научно-техническая конференция студентов, аспирантов и молодых специалистов МИЭМ, посвященная 50-летию МИЭМ. М.: Московский государственный институт электроники и математики, 2012. С. 29-29.
Added: Apr 4, 2013
Две модели принятия решений участником торгов на фондовой бирже по формированию и изменению своего инвестиционного портфеля
Belenky A., Egorova L. G. Математические методы анализа решений в экономике, бизнесе и политике. WP7. Издательский дом ВШЭ, 2015. No. WP7/2015/02 .
Two mathematical models formalizing the decision-making process by a trader on developing and changing her investment portfolio in a stock exchange are presented. According to the first model the trader can correctly predict future values of financial securities of her interest. In this case, the problem of finding optimal strategies of investing in these financial securities is reduced to solving a linear programming problem. Under the second model, by means of linear inequalities of a balance type, the trader can estimate the area in which the values of the whole spectrum of the above financial securities may change. In this case, the same problem is formulated as an antagonistic game, analogous to the game with nature, with a nonlinear payoff function. It is proven that saddle points in this game can be found by solving linear programming problems forming a dual pair.
Added: May 31, 2015
Пономарева Е. А. В кн.: . С. 231-236.
Added: Oct 10, 2012
Зверев О. В., Хаметов В. М. Обозрение прикладной и промышленной математики. 2011. Т. 18. № 1. С. 121-122.
Added: Apr 19, 2012
Финансовый лизинг и факторинг: Учебно-методическое пособие для слушателей программы МВА, обучающихся по специальностям «Общий и стратегический менеджмент» и «Финансы»
Газман В. Д. М.: Бизнес Элайнмент, 2008.
Added: Nov 16, 2013
Шелемех Е. А. В кн.: Научно-техническая конференция студентов, аспирантов и молодых специалистов МИЭМ, посвященная 50-летию МИЭМ. М.: Московский государственный институт электроники и математики, 2012. С. 5-6.
Added: Mar 30, 2013
In the era of the knowledge economy intangibles are recognized by investors as pivotal value drivers. Previous research of portfolio forming methods based on intangibles is limited by taking into account only the quantity of intangibles. We propose a tool to select companies able to create knowledge (in contrast to the absorption of knowledge), which is a quality of intangibles. To test whether these abilities are results of skill we implement a bootstrap procedure. It shows that only 22% of companies have the skills to create knowledge, but all of them are characterized by positive results of knowledge creation. To show the practical implications of the proposed approach selected companies are combined in a portfolio. This portfolio demonstrates a higher cumulative return, Sharpe ratio and drawdown than S&P500. We also find the increasing importance of intangibles for investors during the crisis. While exogenous shocks influenced both creators and absorbers, we found that intangibles create an obstacle to a sharp drop of market value.
Added: Feb 6, 2014
Экономика и управление: проблемы и перспективы развития. Сборник научных статей по итогам международной научно-практической конференции г.Волгоград 15-16 ноября 2010 г.
Ч. 1. Волгоград: Волгоградское научное издательство, 2010.
Added: Jan 18, 2013
Anisimova A. I., Muradyan P. A., Vernikov A. V. SSRN Working Paper Series. Social Science Research Network, 2011. No. 1919817.
This empirical paper adds to competition and industrial organization literature by exploring the interplay between industry structure and competitiveness on local, rather than nation-wide, markets. We use micro-level statistical data for banks in two Russian regions (Bashkortostan and Tatarstan) to estimate Herfindahl-Hirschman index, Lerner index, and Panzar-Rosse model. We estimate Panzar-Rosse model in two ways: via the widely used price-equation that accounts for scale effects and then via a revenue-equation that disregards scale effects as suggested by Bikker et al. (2009). We find both regional markets to be ruled by monopolistic competition, although estimation by revenue-equation does not reject monopoly hypothesis for Tatarstan. Existence of sizeable locally-owned and operated institutions does not necessarily lead to higher competitiveness of the given regional market, and the results from non-structural methods of estimation suggest that bank competition in Bashkortostan is stronger than in Tatarstan. Going further away from aggregated analysis we compute Lerner indices in two product segments of Tatarstan – retail and corporate loans – and find that retail segment is significantly more competitive. Local banks exert more market power in corporate loans, while federal branches – in retail loans.
Added: May 14, 2012
Added: Feb 22, 2013
Трунин П. В., Дробышевский С. М., Евдокимова Т. В. М.: Издательский дом «Дело» РАНХиГС, 2012.
Added: Mar 26, 2013
Яковлев А. А. Общественные науки и современность. 2008. № 4. С. 21-37.
Added: Sep 22, 2012
Penikas H. I. Financial Economics. FE. Высшая школа экономики, 2012. No. 03.
The Basel Committee of Banking Supervision initiated a discussion on the most efficient practices to prevent bank managers from excessive risk-taking. This paper proposes a game-theoretical approach, describing the decision-making process by a bank manager who chooses his own level of risk and effort. If the level of risk implies the variability of the future outcome, the amount of effort applied affects the probability of a positive outcome. Although effort is unobserved for the bank’s stakeholders, the risk level is under control, and is associated with certain indicators such as capital adequacy ratio or leverage level. The risk-neutral utility function of a bank manager and a binary game outcome of gaining profit or loss for a bank are assumed. Starting from the general incentive contract scheme having the fixed and variable parts of remuneration, it is proposed that differentiating the variable part of remuneration is sufficient to motivate bank managers to make fewer risky decisions. More precisely, the variable part of remuneration (e.g. the share of the bank’s profit) needs to be higher in proportion to the higher variance of outcome for the high -risk outcome case to stimulate a bank manager to opt for lower-risk decisions in place of higher-risk situations.
Added: May 3, 2012
Уринсон Я. М. Вестник Европы. 2014. № 38-39.
Added: Feb 5, 2018
Penikas H. I., Titova Y. Financial Economics. FE. Высшая школа экономики, 2012. No. 02.
In this paper we elaborate a simple model that allows for the predicting of possible reactions from financial institutions to more stringent regulatory measures introduced by the Basel Committee on Banking Supervision (BCBS) in regard to global systemically important banks (G-SIBs). The context is framed by a 2011 BCBS document that proposes higher capital requirements for global systemically important banks. We attempt to analyze bank interactions in an oligopolistic market that is subject to demand constraints on loan amounts and additional loss absorbency requirements introduced by the regulator. We distinguish between the bank’s announced funding cost that determines both the loan amount issued and the market interest rate, and the bank’s true funding cost that has a direct impact on retained earnings. We conclude that in a two-stage game both banks will announce the highest funding cost, thus reducing the amount of loans granted (in line with the regulator’s objective), but at the expense of a higher cost of borrowing established in the market. If the game is repeated, then both banks also choose lower loan amounts in the periods prior to the last one in which the declared funding cost is the lowest possible. It should be noted that the designated outcome also coincides with the findings of the Monetary Economic Department of the Basel Committee on Banking Supervision.
Added: May 3, 2012
Added: Jun 24, 2011