Хеджирование инвестиционного портфеля с помощью производных ценных бумаг на биржевые индексы
Internal rate of return IRR is one of the key criteria for justifying and choosing capital investments with conventional cash flows. However, this criterion is not practically used when the rate of return of investment instruments (short sales, options, futures, swaps) is calculated because these instruments create non-conventional cash flows. The author previously showed that IRR problems were observed when the present value of cash flows changed sign from period to period. This paper offers a criterion to evaluate the rate of return of investment instruments with non-conventional cash flows, i.e. General Rate of Return (GRR).
We develop a model of asset pricing and hedging for interconnected financial markets with frictions – transaction costs and portfolio constraints. The model is based on a control theory for random fields on a directed graph. Market dynamics are described by using von Neumann – Gale dynamical systems first considered in connection with the modelling of economic growth [13,24]. The main results are hedging criteria stated in terms of risk-acceptable portfolios and consistent price systems, extending the classical superreplication criteria formulated in terms of equivalent martingale measures.
The paper studies the problem of dynamic hedge ratio calculation for the portfolio consisted of two assets – futures and the underlying stock. We apply the utility based approach to account for the degree of risk aversion in the hedging strategy. Seventeen portfolios, consisted of Russian blue-chip stocks and futures, are estimated in the paper. In order to estimate the conditional covariances of hedged portfolio returns, such multivariate volatility models as GO-GARCH, copula-GARCH, asymmetric DCC and parsimonious stochastic volatility model are applied. The hedging efficiency is estimated on the out-of-sample period using the maximum attainable risk reduction, the financial result and the investor’s utility. It’s shown that for 60% of portfolios ADCC surpasses the other models in hedging. Including the degree of risk aversion in the investor’s utility function together with above-mentioned volatility models allows to reach hedging efficiency of 88%.
In most cases the ultimate goal of a bank is profit maximization. That depends on what derivatives one uses. Thus the objective of this research is to examine the relationship between a bank’s value and characteristics of derivatives it subscribed to. The financials from 2005 to 2010 of 130 European public banks countries are examined. The study is based on two sets of data: the
first one contains the accounting data on balance sheets and the profit and loss accounts from Bankscope from 2005 to 2010, while the second one includes the manually collected data from the notes to the financial statement disclosures. Regression analysis is used to trace the impact of derivative use on bank’s value. Time effects and cross-country differences are controlled for.
Two key research implications are as follows. The return on hedging derivatives is positively associated with the growth in bank’s stock returns, whereas trading derivatives’ notional value negatively impacts both Tobin’s q and ROAA, and positively impacts risk of the bank’s stocks.
In the paper the investment and speculative strategies based on selling naked options are discussed. The risk of such decisions was assessed , advantages and disadvantages of these investment decisions compared to other option strategies was analyzed.
The article studies the correlation between emotional and cognitive competences of students during the course of academic writing in English and their influence on writing skills development, particularly, the ability and desire of learners to mitigate their academic stance expression. In the process of academic text production there can arise negative emotions, which block learners’ thinking abilities. Understanding these can help students cope with them and also boost the thinking process. The development of emotional competence is also seen in the context of academic writing learning because due to cultural peculiarities Russian students tend to be categorical in their utterances and excessively emotional. The results of the experiment, with 30 participants studying at a university, show that emotional and cognitive competences can be crucial constructs in learning skills in the context of explicit academic writing teaching. Introducing the theory of emotional intelligence to the students as a means of pedagogical exposure has shown a positive effect on the learning process; due to comparatively well-developed cognitive abilities the student succeeded in applying the interpersonal component of emotional intelligence in writing for understanding the reader’s perception.
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.