Quantitative Estimation Approaches to the Eurobonds Market Risks
https://doi.org/10.38050/01300105201736
Abstract
The paper provides the simulation of quantitative market risks assessment metrics Value-at-Risk and Expected Shortfall for a portfolio of eurobonds of Russian oil and gas companies, and for eurobonds of each particular company. As a result of the modeling, we noted an overall significant market risks` impact on the value of the analyzed securities and made a conclusion that it is impossible to completely neutralize the influence of market risks. In this regard, the author proposes and justifies the administrative and structural solutions and recommendations, the introduction of which will enable the eurobonds issuing companies to enhance investors` loyalty to their issues and thereby reduce their cost, i.e. mitigate the required investors` return (Value-at-Risk in this case acts as a risk-premium).
About the Author
I. V. Bessarabova
Moscow state University named after M. V. Lomonosov
Russian Federation
Russian Federation
References
1. Кадников А. А. VaR портфеля, содержащего инструменты с короткой историей торгов // Вестник НГУ. - 2009. - Том 9. - № 3. - С. 39-52.
2. Лукашов А. В. Риск-менеджмент и количественное измерение финансовых рисков в нефинансовых корпорациях // Управление рисками. - 2005. - № 5 (11). - С. 43-60.
3. Меньшиков И. С., Шелагин Д. А. Рыночные риски: модели и методы. - М.: Вычислительный центр РАН, 2000. - 55 с.
4. Новая концепция регулирования рыночных рисков в рамках торгового портфеля // KPMG, 2012. - 4 с.
5. Энциклопедия финансового риск-менеджмента / Под ред. канд. экон. наук А. А. Лобанова и А. В. Чугунова. 4-е изд., испр. и доп. - М.: Альпина Бизнес Букс, 2009. - 932 с.
6. Acerbi C., Nordio C., Sirtori C. Expected Shortfall as a Tool for Financial Risk Management // Italian Association for Financial Risk Management, Working paper, 2008.
7. Culp C. L., Miller M. H., Neves A. M. P. Value at Risk: Uses and Abuses // Journal of Applied Corporate Finance. - 1998. - Vol. 10. - No 4. - P. 26-38.
8. Derivatives and Risk Management Made Simple // J. P. Morgan, National Association of Pension Funds Limited. - London, 2013. - 24 p.
9. Manganelli S., Engle R. F. Value at Risk Models in Finance // European Central Bank, Working Paper. - 2001. - № 75. - 41 p.
10. RiskMetrics. CorporateMetrics™ Technical Document. RiskMetrics Group. - New York, 1999.
Review
For citations:
Bessarabova I.V. Quantitative Estimation Approaches to the Eurobonds Market Risks. Moscow University Economics Bulletin. 2017;(3):109-131. (In Russ.) https://doi.org/10.38050/01300105201736
Views:
307
Email this article 