Сравнение моделей оценок VAR на интервалах прогнозирования разной срочности для акций российского фондового рынка
The paper aims at finding the most accurate VaR model for the four most liquid Russian stocks. Among the possible VaR modeling techniques, the estimates considered in this work are based on GARCH models with six different distributions. A back testing analysis is performed to evaluate the accuracy of the alternative models and to find the worst predictable period in terms of the volatility behavior.
The work is dedicated to VaR models, estimated on the equities quotes of the six European countries. The time series cover three economic periods - pre crisis, crisis and post crisis, where the crisis period is the financial crunch of the 2008 year. The volatility estimation is based on the four APARCH(1,1) models and six distribution functions. The results of the investigation show the connection of the model with country's economic development and its financial condition at the different periods of time.
Advanced currency risk management as an integral part of the enterprise risk management system can deliver the best options for the corporate policy and free capital allocation in the money market, thus it can significantly improve the overall corporate efficiency in high-tech enterprises.
The algorithm for finding the required equity capital for the insurance company is the basis of the Solvency II Directive of the European Union. Russia's accession to the WTO and the increase in individual companies of the financial stability and solvency at the expense of investment deals shows the relevance of the study. The purpose is to identify the degree of compliance with the requirements of Solvency II of the financial stability and solvency of Russian insurance company. To do this: first, describe the methodology of the Directive with a focus on the main characteristics and problems associated with the use in the Russian context; secondly, to justify the choice of a Russian insurance company; third, to apply the described method to the selected company.
The originality of this article is to assess risks on the example of Russian insurer with the application of the Solvency II methodology used for European insurers. The result can be considered, the resolution of disputes about the appropriateness of applying the requirements of the algorithm Solvency II to Russian insurance companies, their competitiveness, and the need for the use of risk management in insurance companies of Russia.