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Market risk assessment in Russian high-tech companies
P. 51-54.
Sobolev A.
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.
Language:
English
In book
Morrisville : Lulu Press, Inc., 2018
Makushkin M., Lapshin V. A., Прикладная эконометрика 2023 Т. 69 С. 5-27
The article is devoted to Value-at-Risk estimation of bonds based on Dynamic Nelson–Siegel model (DNS). Instead of dealing with estimation of future interest rates and their volatiles, DNS model forecasts several unobservable shape parameters of the yield curve. We illustrate that for practical purposes one factor model is enough to correctly estimate bond VaR — ...
Added: March 18, 2023
Щерба А. В., Прикладная эконометрика 2011 № 4 С. 58-70
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 ...
Added: September 23, 2012
Penikas H. I., Surkov M., / Universita di Pavia, Dipartimento di Scienze Economiche e Aziendali. Series ISSN: 2281-1346 "DEM Working Papers Series 2018-2020". 2018. No. 166.
Deregulation is often claimed to be the cause for financial distress. Thus it has to lead to financial defaults and losses. However, exact dependence is not clear. To verify it we tried to investigate the roots of world largest financial losses. As we found no source to extensively and completely cover those, we decided to ...
Added: October 16, 2018
Житихин С. С., Российский журнал менеджмента 2020
This article reviews how CEOs of technology companies can be successful in companies performance at different stages of the life cycle. The object of the research is the tech companies of the United States of America. The companies are given special attention today as the driver of the new economic cycle. Due to the fact ...
Added: September 29, 2020
Khasyanova S. Y., Деньги и кредит 2013 № 6 С. 35-40
The aim of this work is to analyze the financial stability indicators of Russian banking sector over a period 2008–2012. The analysis based on data published and used by the International Monetary Fund for assessing financial stability of various countries. During the research the factors affecting the level and dynamics of analyzed indicators were identified. ...
Added: July 15, 2013
Berzon N. I., Смирнов А. А., Piliugin G. V., Финансы и бизнес 2018 Т. 14 № 3 С. 19-35
Nowadays investors are facing changing conditions of global financial markets and should evaluate risks correctly. The most crucial factor is market risk that defines financial stability and investment results of professional participants at financial market and its clients. One of the characteristics of American stocks are higher volatility during financial report announcements. Common VaR methodology ...
Added: November 28, 2018
Malakhov D., Риск-менеджмент в кредитной организации 2015 № 4(20) С. 72-88
The structure of banking industry is highly connected with risks of defaults (Acemoglu, Ozdaglar, Tahbaz-Salehi (2015)). Thus, unexpected and abrupt changes of distributions of banking assets, credits as well as deposits can be good predictors for crisis events in the banking industry. This paper considers the structure of Russian banking industry. The industry structure has ...
Added: October 16, 2015
Khasyanova S. Y., М. : ИНФРА-М, 2020
The book is devoted to assessment and management of banking risks based on international approaches. The application of the methods of assessment, management and risk minimization in commercial banks is considered both in the context of adaptation of the international recommendations and standards in the banking sector of the Russian Federation, as well as in ...
Added: December 6, 2020
Rybalka A., Studies on Russian Economic Development 2020 Vol. 31 No. 3 P. 264-270
Based on data from high-tech companies in Eastern and Western Europe, the article analyzes the relationship between ownership structure parameters, some corporate governance factors, and company performance. The main purpose is to examine the established patterns of ownership structure of successful companies. It is revealed that at the initial stage of development of companies, the “Sole leader ...
Added: June 17, 2021
Karminsky A. M., Серякова Е. В., Вестник МГИМО Университета 2015 № 4 (43) С. 53-63
Amid instability of financial markets and macroeconomic situation the necessity of improvingbank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing belongs to such instruments. The paper reviews and compares the models of market risk stress–testing of the portfolio ...
Added: October 25, 2015
Khasyanova S. Y., Деньги и кредит 2014 № 10 С. 26-31
After the recent financial crisis in many countries there was a noticeable reinterpretation of the supervision and its role in improving of reliability and efficiency of financial intermediaries. Before that was the introduction of the basic principles of supervision, but now the main attention is given to the quality of supervision and enhancing its role ...
Added: October 30, 2014
Kokoreva M. S., Stepanova A. N., Повх К. С., / National Research University Higher School of Economics. Series WP BRP "Basic research program". 2017. No. 62/FE/2017.
This paper analyzes why high-tech firms are less likely to have debt in their capital structure. The share of zero-leverage firms increased in the US in the Software & Services, Hardware Equipment and the Pharmaceutical & Biotechnical industries which are treated as high-tech firms in our research. We divide the sample of US-based firms from ...
Added: October 27, 2017
Румянцева Е. В., Furmanov K. K., Прикладная эконометрика 2016 Т. 41 С. 123-143
Paper is devoted to modeling risks of mortgage default and prepayment using data from large Russian mortgage agency. Various techniques of survival analysis are applied to estimate corresponding hazard functions and their relation to loan characteristics. Along with traditional, single equation regression models, split population approach is used. Special attention is paid to model selection ...
Added: June 20, 2016
Simachev Y. V., Akindinova N., Yakovlev A. A. et al., НИУ ВШЭ, 2018
В докладе содержится анализ основных структурных изменений в российской экономике, проводится их сопоставление с тенденциями, характерными для развитых и развивающихся стран. На этой основе определяются некоторые следствия (условия и задачи) для активной структурной политики. С учетом современных подходов к формированию структурной политики, изменений в условиях ее реализации изучаются возможности проведения структурной политики в России, причем ...
Added: October 15, 2019
Моделирование оценки рыночного риска рынков европейских стран в период финансового кризиса 2008 года
Щерба А. В., Прикладная эконометрика 2012 № 3 С. 20-35
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 ...
Added: December 2, 2012
Kokurina A., Вестник Московской международной высшей школы бизнеса МИРБИС 2020 № 3 С. 165-175
The article examines the issues of preserving and developing the intellectual potential (IP) of Russian
high-tech companies, which is one of the factors for ensuring their economic security (EB). The purpose of the article
is to establish the dependence of the economic security of high-tech companies on the level of their intellectual
potential. Based on a thorough analysis ...
Added: December 10, 2020
Tarasova J., Смирнова А. Н., В кн. : Международный экономический симпозиум – 2015. Материалы Международных научных конференций, посвященных 75-летию экономического факультета Санкт-Петербургского государственного университета. : СПб. : Скифия-принт, 2015. С. 196-206.
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 ...
Added: February 17, 2016