Conference publications

Abstracts

XIII conference

Market risks estimation. The financial analysis. Methods of forecasting.

Stikhova O.V.

SEI HVE Moscow State University of Technology«STANKIN»,Faculty « Information technologies », chair of « Applied mathematics »,Russia,127055, Moscow, Vadkovsky Lane, 1а,tel. (095)972-95-20, E-mail:olgitast@smtp.ru

The reliance of reliability and solvency of the partners is necessary for any participant in the market, therefore the questions of an estimation and management of financial risks are still actual in modern conditions.

We investigated the global tendencies in the field of management of risks, the practice of management of market risks, and appreciate its specificity. Using the traditional mathematical-statistical and specially developed methods, we have carried out the analysis of qualitative interrelations between statistical data and economic parameters, and developed the most effective (to our mind) system of management of market risks.

Already at the end of 90-th the majority of western banks applied to the methodology RiskMetrics, used in modules of management of risks. However development of the market in Russia is too dynamical, thus the management of market risks not always meets the international standards, there is no constant set of the risks - factors, although a general platform uniting various methodology of an estimation of risks is absent. We offer system of an estimation of management of risks, in which the following is necessary to achieve the greater efficiency:

-development of algorithms of estimation market risks: a parameter of the profit and losses, Value-at-Risk (VaR), stress - testing, analysis of sensitivity;

-Development of auxiliary algorithms: construction curves of profitability, estimation of volatility and matrix of correlations;

-Testing and introduction: back-testing of model, development of the reporting on market risks, training of the personnel.

It is necessary to tell one from another the operational, credit, and market risks, and while estimating the level of profitability to take into consideration the system of the management accounts. The risk management ranks one of the basic spot. At introduction it is necessary to pay attention to integration with other systems and methodologies, on interrelation of the new markets, strategy and tools, on external sources of the data, on updating of parameters, on back-testing and updating of model according to its results.

In the conclusion it is necessary to emphasize, that the basic operations of management are revealing and definition of risk, measurement, further estimation and organization of management of risk, and also reception of results of activity and final reporting.