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Финансовые инструменты управления рисками в инвестиционном проектировании
Дело и Сервис, 2016.
Станиславчик Е. Н.
Богомолов А. С., Dvoryashina M. M., Дранко О. И. et al., Проблемы управления 2021 № 6 С. 15–29
This paper considers an approach to stress testing of nonfinancial organizations. It includes the problem statement and a methodology for solving the reverse problem. The mathematical model is based on open-source data (the financial statements of companies). The relevance of this approach is increasing due to different-nature crises (economic crisis, the COVID-19 pandemic, etc.). The ...
Added: March 19, 2024
Lakshina V. V., Journal of Economic Asymmetries 2020 Vol. 21 P. e00152
This paper, following (Ghalanos, 2012), uses the simple method of embedding skewness in asset allocation based on the Taylor expansion of the investor utility function up to the third term and maximizing it by portfolio weights. This approach also enables us to consider investor risk aversion. Time-dependent multivariate asset moments are obtained via the GO-GARCH ...
Added: November 14, 2019
Lakshina V. V., / Series WP BRP "Basic research program". 2019. No. 75/FE/2019.
This paper uses the parsimonious method of embedding skewness in asset allocation based on the Taylor expansion of the investor utility function up to the third term and maximizing it by portfolio weights. This approach also enables us to consider investor risk aversion. Time-dependent multivariate asset moments are obtained via the GOGARCH volatility model with ...
Added: November 14, 2019
Makarova V. A., Стратегические решения и риск-менеджмент 2019 № 3 С. 220–227
In this article, the problem of optimizing investments in risk management is considered through the theory of the firm and the problems arising from this theory (the problem of the “principal-agent”, the theory of contracts).
The purpose of this study is the theoretical and empirical evidence of the optimal investment model proposed by the author for ...
Added: November 8, 2019
Makarova V. A., Кальченко А. В., Пацей Л. А., Научный журнал НИУ ИТМО. Серия: Экономика и экологический менеджмент 2018 № 3 С. 61–75
Within the framework of this work, the phenomenon of short-termism as an obstacle to the creation of a long-term strategy has been studied using the example of the Russian metallurgical industry. Disclosure of factors to strengthen the policy of short-term decisions occurs through the theory of information asymmetry. Speaking particularly about short-run planning horizons, we ...
Added: October 2, 2018
Makarova V. A., , in: Conference Proceedings. 4th International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM 2017Vol. 3. Book 1.: Sofia: STEF92 Technology Ltd., 2017. P. 333–344.
Short termism is one of the most relevant problems of corporate governance. Managers of companies have to make a choice between long term and short term decisions. The main reasons provoking the emergence of short-termism are: the high volatility of the economy as a whole, the high level of uncertainty of business development due to ...
Added: December 16, 2017
Масино М. Н., Larionov A., Финансы и кредит 2018 Т. 24 № 4 С. 209–226
Предмет. Применение пула ликвидности как способа управления риском ликвидности в платежной системе.
Цели. Разработка подхода к системному описанию способа управления рисками (СПУР) в платежной системе, а также его апробация на примере пула ликвидности.
Методология. Использованы международные и отечественные стандарты в области риск-менеджмента. В основу описания СПУР пула ликвидности легли требования документов, регулирующих функционирование платежных систем в том ...
Added: November 30, 2017
Makarova V. A., Эффективное антикризисное управление 2017 № 4-5 С. 16–29
Decision-making regarding cooperation with a particular company requires a sufficiently in-depth analysis of the attractiveness and prospects of such cooperation. Standard methods of analysis, such as analysis of economic activity, investment attractiveness and efficiency of investment projects, undoubtedly remain the main ones in the organization of interaction, but due to the fact that most companies ...
Added: November 24, 2017
Makarova V. A., Journal of Business and Retail Management Research 2017 Т. 11 № 3 С. 130–143
This article represents a theoretical background to a practical model of risk manage-ment and internal control systems integration within corporate governance structure. The provided model reduces the risk of duplicate management functions, minimizes bureaucracy and costs intensity of processes, motivates management to obtain results and covers all levels of company management. The ability to evaluate ...
Added: March 10, 2017
Makarova V. A., В кн.: Актуальные вопросы оценки эффективности корпоративного риск менеджмента. Часть вторая. Выбор ключевых показателей и минимизация последствий шорт-термизмаЧ. 2: Выбор ключевых показателей и минимизация последствий шорт-термизма.: СПб.: Федеральное государственное автономное образовательное учреждение высшего образования "Санкт-Петербургский политехнический университет Петра Великого", 2016. С. 8–12.
This chapter provides an overview of the main sections, as well as presented the goals, objectives and relevance to the overall context of a scientific monograph. ...
Added: February 28, 2017
Makarova V. A., Управление финансовыми рисками 2017 № 01 (49) С. 44–59
The article presents a model of integration of risk management and internal control systems of corporate governance. This model covers all management levels, prevents the formation of overlapping functions, helps to minimize bureaucracy and costly process, motivation of employees to the results obtained, and also enables evaluate the effectiveness of the processes in terms of ...
Added: February 3, 2017
Makarova V. A., , in: Proceedings of MAC-MME (Multidisciplinary Academic Conference - Management, Marketing and Economics) 2016. International Conference.: Prague: MAC Praque consulting LTD, 2016. P. 170–180.
This article represents a practical model of risk management and internal control sys-tems integration within corporate governance structure. The provided model reduces the risk of duplicate management functions, minimizes bureaucracy and costs intensity of processes, motivates management to obtain results and covers all levels of company management. The ability to evaluate the management processes efficiency ...
Added: December 21, 2016
Масино М. Н., Larionov A., Управление финансовыми рисками 2016 № 4 С. 288–297
The article examines methodological approach to carrying out risk-management process in payment system. The approach is organized in terms of international standards in the field of risk-management and official documents of the Committee on Payments and Market Infrastructure at the Bank for International Settlements. ...
Added: October 25, 2016
Makarova V. A., , in: The Business and Management ReviewVol. 1. Issue 8.: Middlesex: The Academy of Business and Retail Management (ABRM), 2016. Ch. 14 P. 126–136.
Implementation of risk management practices in the company’s activities has a great impact on the reputation and performance of the company. As a result, the majority of stakeholders are interested in cooperation with the selected company. Predicting the results of cooperation implemented through investment projects efficiency assessment methods, where the main index, demonstrating the attitude ...
Added: September 12, 2016
Makarova V. A., Экономика. Бизнес. Банки 2016 № 3 (16) С. 39–56
The risk management introduction to the private enterprises’ activity has a doubtless impact on the reputation and performance of the firm. As a result, the majority of stakeholders interested in cooperation with the selected company should analyze the availability and effectiveness of internal risk management systems in any case. In order to predict the results ...
Added: September 12, 2016
Shvets S. K., Известия Санкт-Петербургского государственного экономического университета 2015 № 6 С. 33–40
The article presents the analysis of the measures of risk non-financial company. Identified key risk metrics. If justified the use of EVaR models. Developed methodical recommendations on the use of EVaR in stress-testing company. ...
Added: March 12, 2016
Shvets S. K., Известия Санкт-Петербургского государственного экономического университета 2015 № 5 С. 72–77
In the article analysis of metrics for risk assessment in non-financial companies. Indentified key determinants of cost metrics RiskMetrics, CorporateMetrics and Stress-testing. The methodical aspects of development in risk assessment using simulation (Monte-Carlo). ...
Added: March 12, 2016
Makarova V. A., Корниенко О. Ю., СПб.: Издательство Политехнического университета, 2015.
The book contains the results of studies to assess the effectiveness of corporate risk management. This monograph is intended for students, teachers and scientists, researchers, and professionals operating in the field of risk management. ...
Added: February 25, 2016
Gordeychuk E., Экономический анализ: теория и практика 2010 № 34(199) С. 48–60
В статье рассмотрены наиболее популярные показатели ожиданий рыночных инвесторов, которые обычно используются для построения инвестиционных стратегий. Представлено их подробное описание и отмечены присущие им недостатки. Предлагается использовать инновационный инструмент - функцию абсолютного неприятия риска. Доказывается большая эффективность инвестирования на основе предлагаемого индикатора. ...
Added: October 13, 2012