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Comparative Analysis of Currency Hedging Processes in the Russian Market
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In conditions of high exchange rate volatility, selecting an optimal hedging instrument is a pressing task for companies engaged in international trade. The purpose of this study is a comparative analysis of the effectiveness of hedging methods (forward, futures, and options contracts) for insuring currency risks in the Russian market. The conducted research analyzes hedging methods and models, and an algorithm has been developed to facilitate effective hedging and determine optimal hedge ratios. Furthermore, an algorithm for forecasting the exchange rate based on oil prices, the key rate, the trade balance, and the consumer price index was proposed and developed. Based on historical data, optimal hedging ratios were calculated, and the effectiveness of each method was assessed over different time horizons (1, 2, and 3 months). The obtained results can be used by companies to select a hedging strategy that aligns with their risk tolerance and time horizon.
Klementiev A., Журнал российского права 2025 Т. 29 № 7 С. 63–78
The article examines the legal category of contract for difference, which at one time gave rise to a discussion among civilists and commercialists. Conract for difference were widespread on the stock exchanges of major trading cities of the Russian Empire. According to contemporaries, these operations attracted a huge number of participants and, consequently, the close ...
Added: August 8, 2025
Soldatova A., Финансы, деньги, инвестиции 2023 № 4 С. 9–15
The price of gold is the most important economic indicator. Expectations of rising inflation and higher key rates from central banks are driving investor interest in gold around the world. Given the increasing number of factors influencing the dynamics of the gold rate in the world, forecasting gold prices requires new methods and modern technological ...
Added: July 8, 2025
Penikas H. I., Вопросы экономики 2024 № 12 С. 69–85
Предложено развитие модели Мертона-Васичека для учета валютных кредитов в портфеле ссуд и определения величины валютных макронадбавок к риск-весам в нормативе достаточности капитала. Показано, как величины надбавок зависят от волатильности обменного курса, и от соотношения валютных активов и пассивов типичных заемщиков в таком портфеле ссуд. Дополнительно обоснована целесообразность аддитивного, а не мультипликативного учета валютного курса в ...
Added: November 17, 2024
Klementiev A., Законодательство 2024 № 9 С. 40–48
Различия контрактов обусловлены местом заключения договора — если первый заключается в результате биржевых торгов, то второй носит внебиржевой характер. Под воздействием новых регуляторных подходов отдельные признаки фьючерса становятся характерными и для форварда. ...
Added: October 16, 2024
Deseatnicov I., Klochko O., Emerging Markets Review 2023 Vol. 55 Article 101023
Using a complete manually collected set of 3435 Russian firms with German capital in 2003–2020, we examine the effect of currency risk on the dynamics of German investors’ entry and exit into the Russian market via foreign direct investment. We document that German investors were relatively tolerant towards currency risk before 2014, and became highly ...
Added: April 27, 2023
Teplova T., Mikova E., Munir Q. et al., Economic Change and Restructuring 2023 Vol. 56 No. 1 P. 515–535
This study examines the portfolio optimization problem by exploiting daily data of 10 international Exchange Trade Funds (ETF) from 2012 to 2022. We extend the Black-Litterman (BL) approach using ARMA-GARCH-copula-based expected returns as a proxy for investor views and use the CVaR metric as a risk measure in the optimization procedure. The BL approach provides ...
Added: September 2, 2022
Garslyan L., Молотников А. Е., Вестник Московского университета. Серия 11: Право 2016 № 2
Статья освещает основные аспекты правовой квалификации производных финансовых инструментов на основе анализа различных трактовок данной категории в законодательстве, а также профессиональной и научной среде в различных странах. На основе анализа авторы предлагают собственное определение производного финансового инструмента. ...
Added: December 12, 2019
Sobolev A., РИСК: Ресурсы, информация, снабжение, конкуренция 2017 № 3 С. 159–166
The topicality of capital allocating efficiency increasing becomes more urgent with the volatility growth in financial markets. The article provides an innovative approach for currency risks management using composite currency pairs indexes forming stationary time series. ...
Added: January 22, 2018
Dranev Y., Levin A., Kuchin I., Foresight 2017 Vol. 19 No. 6 P. 615–627
Purpose. The purpose of this research is to look at effects of research and development expenditures (R&D) on value and risks of publicly traded companies by studying returns on stock exchanges of R&D-intensive economies (Republic of Korea, Finland, and Israel). Design/Methodology/Approach. Empirical tests of multifactor asset pricing models were applied in order to demonstrate that ...
Added: September 19, 2017
Kuchin I., Мир экономики и управления 2016 Т. 16 № 3 С. 31–41
A large number of research papers on relation between currency risk and firms’ value have been published during last several decades. Researches acknowledged that currency risk could be a pricing factor. In this paper we investigate the historical development of models within the pricing theory. Also, we come to conclusion that dynamic, conditional and international ...
Added: September 17, 2017
Kuchin I., Корпоративные финансы 2016 Т. 10 № 2 С. 27–38
Данное исследование посвящено проблеме выявления влияния факторов риска на ценообразование активов на российском рынке. Джон Кэмбелл в 2013 году разработал для американского рынка межвременную модель ценообразования активов, учитывающую ряд факторов риска. Развивающиеся рынки капитала, в том числе и российского, имеют свои особенности, которые усложняют использование глобальных факторов риска локальной модели ценообразования. Присутствие дополнительных рисков, связанных ...
Added: September 17, 2017
Pestova A., Pankova V., Akhmetov R. et al., Деньги и кредит 2017 № 6 С. 49–58
In this paper we propose a system of financial stress indicators for Russia based on high frequency data. Unlike previous studies, we identify financial instability for different types of financial risks (credit, liquidity, currency, interest rate, external finance risk), not for different segments of financial market. With constructed composite indicator of systemic risk at hand, ...
Added: June 9, 2017
Shvets S. K., Известия Санкт-Петербургского государственного экономического университета 2016 № 6(102) С. 29–41
The article deals methodological aspects currency risk management non-financial company in conditions of uncertainty. The proposed economic mechanism of analysis and assessment of currency of RiskMetrics. The developed algorithm for risk assessment based on statistical modeling (Monte-Carlo). Consider a practical example of the calculation of the currency risk of the Group companies and their elimination ...
Added: February 20, 2017
Lakshina V. V., Лапшина К. А., Финансы: теория и практика 2016 Т. 20 № 5 С. 105–114
Hedging is one of the most popular strategies for market risk management. Hedging is aimed at decreasing the volatility, or variability, of portfolio returns. The portfolio usually consists of the spot assets and hedging instruments. The latter can be represented by futures, options and over-the-counter assets such as forwards and swaps. While futures’ hedging is ...
Added: October 5, 2016
Ацканов И. А., Финансы и кредит 2016 Т. 704 № 32 С. 25–37
GAS-копулы учитывают изменения в структуре взаимосвязи активов с течением времени, что позволяет построить динамический инвестиционный портфель, адаптирующийся к меняющимся условиям. Предлагаемая в работе процедура предполагает периодический пересмотр структуры инвестиционного портфеля, что должно способствовать повышению эффективности управления. Рассматриваются 10 наиболее ликвидных акций российского фондового рынка. Работа предлагает процедуры оптимизации нескольких форматов инвестиционных портфелей – портфель «long ...
Added: August 30, 2016
Ацканов И. А., Прикладная эконометрика 2015 Т. 4 № 40 С. 84–105
This paper proposes a procedure for dynamic optimization of an investment portfolio, consisting of stock market indices. SJC-copulas were used to assets statistical characteristics of assets. Copulas allow to measure interdependence between financial instruments, and to build an efficient investment portfolio. Since statistical characteristics of assets are changing with time, the structure of the portfolio ...
Added: February 3, 2016
Lakshina V. V., Экономический журнал Высшей школы экономики 2016 Т. 20 № 1 С. 156–174
This paper studies the problem of calculation the dynamic hedge ratio for the portfolio consisted of two assets. Commonly it’s solved assuming that the investor’s risk aversion is infinite. Then the optimal hedge coefficient is equal to ratio of covariance of the hedged and hedging assets to the variance of the latter. It’s natural to ...
Added: October 15, 2015