Использование современных методов оценки рыночных рисков для принятия эффективных управленческих решений
Ключевые слова: портфельный подход, концепция VaR, хеджирование рисков, хедж-премия, стоимость компании
Background: The purpose of the work is to develop a system that allows processing of information for analysis and industrial risk management, to monitor the level of industrial safety and to perform necessary measures aimed at the prevention of accidents, casualties, and development of professional diseases for effective management of industrial safety at hazardous industrial sites. Methods: Risk assessment of accidents and incidents is based on expert evaluations. Based on the lists of criteria parameters and their possible values, provided by the experts, a unified information and analytical database is compiled, which is included in the final interrogation questionnaires. Risk assessment of industrial injuries and occupational diseases is based on statistical methods. Results: The result of the research is the creation of Guidelines for risk management on hazardous industrial sites of the Republic of Kazakhstan. The Guidelines determine the directions and methods of complex assessment of the state of industrial safety and labor protection and they could be applied as methodological basis at the development of preventive measures for emergencies, casualties, and incidents at hazardous industrial sites. Conclusion: Implementation of the information-analytical system of risk level assessment allows to analyze the state of risk of a possible accident at industrial sites, make valid management decisions aimed at the prevention of emergencies, and monitor the effectiveness of accident prevention measures.
The main formal tasks of the information security risk management process using functional and contextual models reflecting the basic concepts and basic functions of information security risk management systems.
The article suggests some possible applications of statistical data analysis to risk management in factoring. The major attention is drawn to fraud risk since it is usually one of the most important forms of risk in factoring.
Due to the need to reindustrialize the domestic industry at the post-industrial stage of development, it has become necessary to implement megaprojects aiming at the qualitative makeover of the national economy. The purpose of this paper is to develop an industrial megaproject risk management model and methodological support based on a comparative analysis of existing approaches and using Russian and international experience. The research has resulted in two megaproject risk management models: a fragmentary model and a comprehensive one. A risk mitigation potential analysis for ongoing megaprojects has been performed confirming the efficiency of use of the comprehensive megaproject risk management model. The suggested comprehensive risk management model allows taking into consideration the main distinctive feature of modern megaprojects, i.e. multiplicity of management entities operating on the basis of the partnership principle.
Distribution and control of consumption of various resources (financial, material, labor, energy, etc.) are playing the special role in organizing and planning the development of innovative programs of industrial infrastructure. Management staff should be responsible for defining the major risk factors of innovative enterprise projects and perform estimation the level of risk of innovative projects in according to approved methods and models and perform other functions. This article about a model that allows to implement one of the approaches to the problem of estimating the amount and structure of reserve resources in the formation of an innovative program of development of industrial infrastructure, taking into account factors of structural and parametric uncertainty. The principles of this approach were outlined. Description of solvable problem and an algorithm of its solution were outlined. In order to demonstrate the capabilities of the algorithm shows an example. Using the proposed algorithm will allow to reasonably consider the negative impact of the uncertainty of realization of innovative development programs and to predict possible risks. This algorithm has a high adaptability to the source data of the task and to the functional relationships of the used parameters. This property makes it possible to implement it with maximum effect in intelligent decision support systems.
The parameters of GARCH, EGARCH and GJR-GARCH econometric models were estimated using Dow Jones daily returns. According to the results, asymmetric models with non-Gaussian standardized innovations proved to be the best. For these models, the returns’ conditional variance forecast was made, as well as so called “News Impact Curve”, which shows the effect of previous shocks on the volatility. At the same time, as per Value-at-Risk back-testing, the most acceptable in terms of risk management was the asymmetric GJR-model based on the normal distribution of standardized innovations.
The purpose of this paper is to research multicriteria decision-making optimisation problems of logistics systems and supply chains considering conditions of uncertainty. The article presents an approach that allows adapting the procedures of multicriteria optimisation to the format of conditions of uncertainty. This approach is relevant for the situation when a manager does not have reliable estimates for the probability of random events and cannot use decision-making methods under risk conditions. The study proposes the synthesis of optimisation procedures, including the format of the multiple criteria decision-making theory and the format of procedures developed in the theory of decision-making in conditions of uncertainty. The specifics of this approach and algorithm for optimising such solutions are presented according to the inventory management problem.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.