Research articles for the 2019-04-04

A Multivariate Micro-Level Insurance Counts Model With a Cox Process Approach
Avanzi, Benjamin,Taylor, Greg,Wong, Bernard,Yang, Xinda
When calculating the risk margins of a company with multiple Lines of Businessâ€"typically, a quantile in the right tail of an aggregate loss, assumptions about the dependence structure between the different Lines are crucial. Many current multivariate reserving methodologies focus on aggregated claims information, typically in the format of claim triangles. This aggregation is subject to some inefficiencies, such as possibly insufficient data points, and potential elimination of useful information. This inefficiency is particularly problematic for the estimation of dependence. So-called `micro-level models', on the other hand, utilise more granular levels of observations. Such granular data lend themselves naturally to a stochastic process modelling approach. However, the literature interested in the incorporation of a dependency structure with a micro-level approach is still scarce.In this paper, we extend the literature of micro-level stochastic reserving models to the multivariate context. We develop a multivariate Cox process to model the joint arrival process of insurance claims in multiple Lines of Business. This allows for a dependency structure between the frequencies of claims. We also explicitly incorporate known covariates, such as seasonality patterns and trends, which may explain some of the relationship between two insurance processes (or at least help tease out those relationships). We develop a filtering algorithm to estimate the unobservable stochastic intensities. Model calibration is illustrated using real data from the AUSI data set.

A martingale approach to the question of fiscal stimulus
Philip A. Ernst,Michael B. Imerman,Larry Shepp,Quan Zhou

Democrats in the United States argue that government spending can be used to "grease the wheels" of the economy to create wealth and to increase employment; Republicans contend that government spending is wasteful and discourages investment, thereby increasing unemployment. These arguments cannot both be correct, but both arguments seem meritorious. Faced with this paradox, one might hope that a rigorous mathematical approach might help determine the truth. We address this economic question of fiscal stimulus as a new optimal control problem generalizing the model of Dutta and Radner [1999]. We find that there exists an optimal strategy and provide rigorous verification proof for the optimality. Further, we prove a few interesting mathematical properties of our solution, providing deeper insight into this important politico-economic debate and illustrating how the fiscal stimulus from the government may affect the profit-taking behavior of firms in the private sector.

Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios From 1925
Clare, Andrew,Seaton, James,Smith, Peter N.,Thomas, Steve
A significant part of the development in pension provision in many countries is the emergence of ‘Target Date Funds’ or TDFs. In this paper we examine the proposition of de-risking through life and the guidance offered by TDFs in the decumulation phase following retirement. We investigate the withdrawal experience associated with Glidepath Investing in the US since 1925 for conventional bond-equity portfolios. We find one very powerful conclusion: that smoothing the returns on individual assets by simple absolute momentum or trend following techniques is a potent tool to enhance withdrawal rates, often by as much as 50% per annum! And, perhaps of even greater social relevance is that it removes the ‘left-tail’ of unfortunate withdrawal rate experiences, i.e. the bad luck of a poor sequence of returns early in decumulation. We show that diversifying assets over time by switching between an asset and cash in a systematic way is potentially more important for the retirement income experience than diversifying one’s portfolio across asset classes. We also show that Glidepath investing is only sensible within a few years of the target date. This finding provides succour to enthusiasts for target date investing in the face of the growing hostility in the literature.

An Overview of Mathematics of Finance With Reference to ‘Time Value of Money’
Joshi, Vijay
Money is not everything in life but money is the most important need of everyone’s life. This paper describes the value of money which changed over a period of time. It also explain the important factor i.e. interest, due to which the value of money changes. This paper also discussed the significance of simple interest and compounding interest and will compare the growth rate between these two. Also how cash flows affects the business and helps in taking business decision. We will discuss about compounding cash flows and discounting cash flows. Used to calculate the present value and future value of a given cash flows. This paper will not discuss various theories on interest.

Applications of RFID Technology: A Study of Manufacturing Organizations
Makhija, Diljeetkaur,Chugan, Pawan K.
Availability of real-time information facilitates efficient production coordination. Effective applications of RFID technology in the automated manufacturing environment can help optimize system. Information available on real time basis, increase the efficiency and effectiveness of any organization. Radio Frequency identification (RFID) is one such technology which provides information on real time basis and that too without the requirement of line of sight. RFID technology has many different applications across various industries. This paper focuses on the applications of RFID in manufacturing organizations. Through literature review various applications of RFID technology in manufacturing organizations were identified, and later through factor analysis five factors for applications namely Work in Progress Management; Inventory Management; Logistics Management; Warehouse Management and In Process Logistics Management were identified.

Catch Me If You Can: Improving the Scope and Accuracy of Fraud Prediction
Chakrabarty, Bidisha,Moulton, Pamela C.,Pugachev, Leonid,Wang, Xu (Frank)
We propose a parsimonious metric â€" the Adjusted Benford score (AB-score) â€" to improve the detection of financial misstatements. Based on Benford’s Law, which predicts the leading-digit distribution of naturally occurring numbers, the AB-score estimates a firm-year’s likelihood of financial statement manipulation, compared to its peers and controlling for time-series trends. The AB-score requires less data than the leading accounting-based misstatement metric (the F-score) and can be computed for many more firm-years, including for financial firms. For firm-years with all data available, combining the AB-score and F-score variables into one model yields higher accuracy in predicting misstatements in- and out-of-sample.

Chaos and Order in the Bitcoin Market
Josselin Garnier,Knut Solna

The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel and robust tools for estimation of multi-fractal properties are used to show that the bitcoin price exhibits a very interesting multi-scale correlation structure. This structure can be described by a power-law behavior of the variances of the returns as functions of time increments and it can be characterized by two parameters, the volatility and the Hurst exponent. These power-law parameters, however, vary in time. A new notion of generalized Hurst exponent is introduced which allows us to check if the multi-fractal character of the underlying signal is well captured. It is moreover shown how the monitoring of the power-law parameters can be used to identify regime shifts for the bitcoin price. A novel technique for identifying the regimes switches based on a goodness of fit of the local power-law parameters is presented. It automatically detects dates associated with some known events in the bitcoin market place. A very surprising result is moreover that, despite the wild ride of the bitcoin price in recent years and its multi-fractal and non-stationary character, this price has both local power-law behaviors and a very orderly correlation structure when it is observed on its entire period of existence.

Countercyclical Stockholders' Consumption Risk and Tests of Conditional CCAPM
Elkamhi, Redouane,Jo, Chanik
Recent studies testing the conditional representative-agent consumption CAPM strongly reject the model. The implied risk aversion ranges from -250 to 600 in Roussanov (2014) and from -88 to -4 in Duffee (2005). In this article, we test a conditional heterogeneous-agents consumption CAPM featuring time-varying market participation and find strong evidence in support of the model. We show reasonable values of implied risk aversion boundary, a significant positive risk-return trade-off (e.g., 3.6 to 7.7), and non-trivial reduction in pricing errors. We also examine the value premium. Stockholders' consumption risk dynamics account for up to 89.12% of the unconditional value premium within small stocks. We introduce two novel instrument variables in line with stockholders' composition effect and find even stronger support for the model. We identify the main features of the data that lead to these findings: Stockholders' consumption risk dynamics vary in the same direction as the dynamics of the equity premium and the value premium. In contrast, the opposite dynamics are observed for aggregate consumption risk.

Deep Learning in Asset Pricing
Chen, Luyang,Pelger, Markus,Zhu, Jason
We estimate a general non-linear asset pricing model with deep neural networks applied to all U.S. equity data combined with a substantial set of macroeconomic and firm-specific information. Our crucial innovation is the use of the no-arbitrage condition as part of the neural network algorithm. We estimate the stochastic discount factor (SDF or pricing kernel) that explains all asset prices from the conditional moment constraints implied by no-arbitrage. For this purpose, we combine three different deep neural network structures in a novel way: A feedforward network to capture non-linearities, a recurrent Long-Short-Term-Memory network to find a small set of economic state processes, and a generative adversarial network to identify the portfolio strategies with the most unexplained pricing information. Our model allows us to understand what are the key factors that drive asset prices, identify mis-pricing of stocks and generate the mean-variance efficient portfolio. Empirically, our approach outperforms out-of- sample all other benchmark approaches: Our optimal portfolio has an annual Sharpe Ratio of 2.1, we explain 8% of the variation in individual stock returns and explain over 90% of average returns for all anomaly sorted portfolios.

Digital Disruptions â€" Moats in the Age of Disruptions
Ramraika, CFA, Baijnath,Trivedi, Prashant,Gujar, Siddhi
Digital disruption is a potent force. Advances in mobile technology and increasing use of social media have quickened the pace of customer adoption, giving rise to the age of digital disruption. It is important to note though that digital disruption is not a net negative force. For every disrupted, there is a disruptor. In this article, we provide short case studies on four businesses. One of these is treated as a high-quality business by those who rely primarily on historical profitability of the business. The other three are a part of our high-quality investment universe. These case studies highlight that careful analysis and application of a structured decision-making framework are helpful in identifying disrupted business models and staying clear of those that are being negatively impacted.

Does Foreign Bank Branch Activity Affect Lending Behavior?
Kowalewski, Oskar
In this study, we examine the effects of foreign branch activity on commercial banks in the Central, Eastern, and Southeastern European countries for the period 1995-2015. We show that more foreign bank branches are present in countries that have higher taxes and regulatory restrictions on bank activity. The increased activity of bank branches negatively affects foreign-owned bank lending, and to a lesser extent, that of state-owned banks. We attribute this finding to the fact that branches and foreign-owned banks compete for the same type of clients, namely, multinational corporations. The branch effect seems to be larger for corporate loans than for consumer loans, which confirms our assumptions. Moreover, we find that the negative effect is stronger for foreign banks owned by multinational banks than by non-bank entities.

Does Regulatory Monitoring Improve M&A Outcomes? Evidence from Chinese Comment Letters
Zhang, Junzi,Bilinski, Pawel,Raonic, Ivana
This study examines the effect of Chinese comment letters on the bidder’s takeover filings. We document that the market reacts negatively when a firm receives an M&A comment letter and the effect is stronger if the firm receives more than one letter, a longer letter, and the slower a firm responds to the letter. Companies that receive the comment letter during M&A also have lower completion rates. The textual analysis of the letter content shows price reactions are more negative if the issues raised in the letter refer to bidder’s corporate governance quality and business. Investors react more positively if the regulator questions bidder’s accounting quality and M&A deal conditions. Our results are robust to controlling for selectivity in the type of firm that receives a comment letter. Jointly, the results suggest investors perceive regulatory scrutiny to reduce the risk a transaction is value-destroying by increasing deal transparency, which suggests positive benefits from regulatory monitoring of M&A deals.

Does Reputational Capital Affect Credit Rating Agencies?: Empirical Evidence from a Natural Experiment in China
Xu, Wenming,Liu, Yan
The subprime crisis of 2007-2008 has led major economics to reform their credit rating regulation. This paper employs a shock-based difference-in-difference research design and tests an implicit hypothesis of the gatekeeper theory supporting such reforms that reputational capital affects credit rating agencies in the China’s debt market. The first market-oriented evaluation in the inter-bank bond market is chosen as the source of the exogenous reputational shock. Using the Medium Term Notes (MTNs) rated by China Chengxin International Credit Rating as benchmarks, we identify a causal relationship that the average yield spread of MTNs rated by China Lianhe Credit Rating increases for around 0.230%-0.361% due to the decrease in its reputational capital. Our research provides favorable evidence to the recent reform measures that aim at increasing the disciplinary power of reputational capital.

Echange Traded Funds (ETF): History, Mechanism, Academic Literature Review and Research Perspectives
Tarassov, Evgeni
Prior to March of 2016, when the first exchange traded fund (ETF) on rTS was introduced, Russian investors’ only option for investing in the domestic index was through a mutual fund. By contrast, the majority world stock exchanges have been giving their clients the option to invest in their leading domestic indexes not only via index mutual funds but also via exchange traded funds (ETF) since decades. Their absence and therefore the lake of familiarity with these funds might be one of the several reasons Russian investors have been willing to pay a premium for ETF investments through intermediaries relative to what they would pay investing directly. Large number of investors buy western ETF via mutual funds. The premiums Russian mutual funds charge for investing in ETFs translate on up to a 36% premium over a 10-year horizon, compared to buying the same ETF directly. This paper introduces to a broader Russian speaking community ETFs, one of the most important financial innovations of the last 20 years, and provides a survey of the research done in this field. This paper reviews the literature on ETFs and provides a brief history of ETFs and these funds’ investment mechanism. In conclusion, some ideas for further research are suggested.The existing paper are divvied in three groups that unite six topics: The first group of literature is devoted to traditional ETF. There are two topics:1. Is the ETF substitute for index mutual funds? If yes, to which level? If it is substitute, why it did not still the index funds? 2. Which influence has the introduction of an ETF on the active that it tracks. This topic covers also liquidity, hedge and arbitrage. Second group of papers emerging recently unites the following topics:3. How effective are the ETF tracking the foreign indexes?4. ETF development besides USA. 5. ETF that track not the share indexes. New generation ETF: synthetic, leveraged, actively managed and smart-beta.Third group of papers devoted to the following topic:6. ETF use for optimal portfolio construction.

Emergence of Turbulent Epochs in Oil Prices
Josselin Garnier,Knut Solna

Oil price data have a complicated multi-scale structure that may vary with time. We use time-frequency analysis to identify the main features of these variations and, in particular, the regime shifts. The analysis is based on a wavelet-based decomposition and analysis of the associated scale spectrum. The joint estimation of the local Hurst exponent and volatility is the key to detect and identify regime shifting and switching of the oil price. The framework involves in particular modeling in terms of a process of `multi-fractional' type so that both the roughness and the volatility of the price process may vary with time. Special epochs then emerge as a result of these degrees of freedom, moreover, as a result of the special type of spectral estimator used. These special epochs are discussed and related to historical events. Some of them are not detected by standard analysis based on maximum likelihood estimation. The paper presents a novel algorithm for robust detection of such special epochs and multi-fractional behavior in financial or other types of data. In the financial context insight about such behavior of the asset price is important to evaluate financial contracts involving the asset.

Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market
Cheoljun Eom,Taisei Kaizoji,Enrico Scalas

This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in recent periods than in past periods and much fatter for small-capitalization stocks than for large-capitalization stocks. After controlling for the 1997 Korean foreign currency crisis and using the GARCH filter models to control for volatility clustering in the returns, the fat tails in the distribution of residuals are found to persist. We show that market crashes and volatility clustering may not sufficiently account for the existence of fat tails in return distributions. These findings are robust regardless of period or type of stock group.

Leverage Ratio: Micro Evidence of the Backstop Function to Risk-based Capital Requirements
Balke, Florian
The build-up of excessive on- and off-balance sheet leverage in the banking system is wide-spread recognized as one of the underlying causes of the great financial crisis, while at the same time many banks managed to report strong risk-based capital ratios. As a consequence the Basel III framework introduced the leverage ratio (LR) as a simple, non-risk-based "backstop" measure supplementing the risk-based capital measures. Using a unique dataset of wholesale deposit transactions, this paper investigates the effectiveness of LR as backstop measure considering differences of its implementation and calibration across jurisdictions. For identification, I exploit regulatory end of quarter disclosure requirements that penalizes banks' leverage exposure measure with capital surcharges, and differences in implementations of the LR between the United States and the European Union. Based on a conceptual framework of relative constrainedness of LR to risk-weighted capital ratios, I provide evidence that the LR acts as effective backstop measure within the limits of current definition and calibration levels. Moreover, my results advocate the averaging calculation of LR and the introduction of additional LR buffers for systemically important banks in line with risk-based capital buffers in order to strengthen the backstop function and to effectively prevent institutions form taking on excessive and unsustainable leverage risk.

Local Affordability, House Price Forecasting, and Vulnerabilities
Roberts, Tom
I find that high home-buying costs for a typical household, relative to a cumulative city-level average, help to predict downward pressure on future real house price growth at a 1-year horizon for Canadian cities over the 1980q1 to 2016q2 sample period. This insight is relevant for broader household vulnerabilities because of their interdependence with housing market conditions --- this interdependence is illustrated, for instance, by how a decline in house prices Granger-causes an increase in mortgage arrears. Based on ease of interpretability, relevant historical context, and in- and out-of-sample performance, local housing cost (i.e. affordability) measures may have some advantages for the monitoring of household sector vulnerabilities, versus other common measures such as debt-to-income.

Ownership Concentration and Firm Valuation in a Typical Frontier Market
Tran, Nam,Le, Dat Chi
This study investigates the valuation effect of concentrated ownership in a typical frontier market. Using an extensive sample of Vietnamese publicly listed firms, we find that the valuation effect is inconclusive before combined equity holdings reach a certain threshold beyond which market valuation increases exponentially with ownership. The latter log-linear effect can be interpreted as a more profound dominance of the monitoring incentives of large shareholders over the potential expropriation of minority shareholders at higher levels of concentration. Our finding reconciles the seemingly conflicting results of previous studies and contributes to understanding corporate governance practices in frontier markets.

Technological Risks of the Digital Economy
Chernyakov, Mikhail,Chernyakova, Maria
This article postulates that the successful development of the digital economy will be ensured by strengthening the position of corporations, increasing quality of corporate governance, and increasing the interaction and clarity of the structure of financial institutions in accordance with the latest technologies. A general definition of the term ‘digital economy’ is formulated to understand this transformation. The digital economy (as an environment) includes a combination of digital infrastructure, innodiversification information, and communication technologies for doing business. This article discusses issues related to the development of new methods of risk assessment and their impact on business processes in the formation and development of the digital economy.The article further emphasises that corporations must pay special attention to the risks inherent in the digital economy in the transformation process. The purpose of this study is to identify the most significant risks. The study was conducted through hierarchical methods for developing classifications, ranking, and a priori analysis. It has been established that the highest priority of research in the traditional economy is given to financial and commercial types of risk as a result of an a priori analysis. A classification of risks of the digital economy is herein proposed.The article further states that the most specific corporate risk for the digital economy is a specific risk, called technological risk. The concept of technological risk is suggested in order to understand the problems associated with large-scale acceleration of the digital economy, and the development and implementation of information and communication technologies. The development of these technologies appear almost impossible to halt due to their tending toward self-propagation and interactive innovation. The article highlights the positive trend of the emergence of an innovative financial system, which is based on digital platforms, technology and marketing. A well-thought and concerted strategy of digital transformation is important for corporations and successful businesses in modern conditions, instead of disparate use of separate tools.The article also notes that the contradictions in strategy and influence between the leading transnational corporations are becoming one of the main sources of risk in the new conditions of the digital economy from the point of view of ensuring national security issues.

The Effect of Firm-Level Political Uncertainty on Bank Loan Contracting
Saffar, Walid,Wang, Yang,Wei, K.C. John
We investigate whether and how firm-level political uncertainty affects firms’ bank loan contracting. We find that firms facing higher firm-level political uncertainty are charged higher bank loan costs. This impact is amplified for firms with higher degrees of information asymmetry and firms with more financial constraints. Moreover, we find a positive relationship between the tightness of a loan’s non-pricing terms and the degree of firm-level political uncertainty. Specifically, firms facing higher firm-level political uncertainty are required to accept more contract covenants, general covenants, and financial covenants. Banks also charge higher annual fees for loan borrowers with higher firm-level political uncertainty. Our results are robust to various model specifications.

The Impact of Terrorist Attacks in G7 Countries on International Stock Markets and the Role of Investor Sentiment
Papakyriakou, Panayiotis,Sakkas, Athanasios,Taoushianis, Zenon
We consider terrorism acts in G7 countries over the period 1998-2017 and examine their impact on a sample of stock market indices from 66 countries. Using an event-study methodology we find that stock markets decline significantly on the event day and on the following trading day. We further consider the investor sentiment following the attacks, based on the content of country-level news stories and social media sources, and find that indices in countries associated with higher declines in the post-event sentiment, exhibit significantly higher economic losses. Our data and results are robust to several settings; these include using samples of events from different studies, excluding the 9/11 terrorist attack from the sample of events, excluding stock market indices of G7 countries from the sample of equity data and utilizing more sophisticated event-study methodologies.

The Interplay Between Problem Loans and Japanese Bank Productivity
Mamatzakis, Emmanuel,Matousek, Roman,Vu, Anh N.
This paper examines for the first time the impact of problem loans on Japanese productivity growth. We exploit a new data set of Japanese problem loans classified into two categories: bankrupt and restructured loans. We opt for a novel and flexible productivity growth decomposition that allows to measure the direct impact of these problem loans on productivity growth. The results reveal that Japanese bank productivity growth was severely constrained by bankrupt and restructured loans early in 2000s, whilst some persistence of the negative impact of problem loans on productivity growth is observed in the late 2000s. Thereafter, there is only some partial recovery in the productivity growth from 2012 to 2015. Further, we also perform cluster analysis to examine convergence or divergence across regions and over time. We observe limited convergence, though Regional Banks seem to form clusters in some regions.

The Securitization of Gold and Its Potential Impact on Gold Stocks
Zhang, Yue
We study the market impact of a very successful financial innovation â€" the SPDR Gold Trust exchange-traded fund (GLD). GLD holds physical gold, and provides traders with a convenient and cost-effective way to gain exposure to gold. We find that after the introduction of GLD, the liquidity of gold company stocks declined, and their adverse-selection risk increased. Over the two-month period after GLD's introduction, the stocks' relative effective bid-ask spreads increased by over 15%, while their adverse-selection cost, as measured by the price impact of trades, went up by more than 30%. Gold stocks also experienced significant negative abnormal returns (â€"12% on average) in the month after GLD started trading. Our findings suggest that GLD attracted traders, especially uninformed traders, away from gold company stocks, and that the resulting negative demand shocks and decrease in the stocks' liquidity caused their prices to decline. Our results show that existing securities can be seriously adversely affected when a new security enters the market.

The Term Structure of Volatility Predictability
Li, Xingyi,Zakamulin, Valeriy
Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities. Still, little is known about the accuracy of volatility forecasts and the horizon of volatility predictability. This paper aims to fill these gaps in the literature. We begin this paper by introducing the notions of the spot and forward predicted volatilities and propose to describe the term structure of volatility predictability by the spot and forward forecast accuracy curves. Then we perform a comprehensive study on the term structure of volatility predictability in the stock and foreign exchange markets. Our results quantify the volatility forecast accuracy across horizons in the two major markets and suggest that the horizon of volatility predictability is significantly longer than that reported in the earlier studies. Nevertheless, the horizon of volatility predictability is found to be much shorter than the longest maturity of traded derivative contracts.

The Valuation of Fixed Term Securities Lending in a Multi-Curve Framework
Conze, Antoine
We consider the risk neutral valuation of fixed term securities lending in a multi-curve framework, taking into account the forward basis of each component of the transaction relative to the discount curve, including basis between currencies. We show that a convexity adjustment arises from the collateral basis being applied to an unnatural notional proportional to the lent security price rather than to the collateral instrument(s) price(s). In practical cases the convexity adjustment is small and can be safely ignored.

Ð'алютный риск и локальная модель ценообразования активов на примере российского рынка акций (Currency Risk and Local Intertemporal Asset Pricing Model. Case of Russia)
Kuchin, Ilia
Russian Abstract: Ð"анное исследование посвящено проблеме выявления влияния факторов риска на ценообра-зование активов на российском рынке. джон кэмбелл в 2013 году разработал для американ-ского 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 ценообра-зования. присутствие дополнительных рисков, связанных с неэффективностью рынка, огра-ниченными возможностями диверсификации, структурными и институциональными особен-ностями развивающихся стран, требует выбора других ключевых факторов, влияющих на ценообразование активов, а также использования локальных моделей для оценки требуемой доходности на собственный капитал. в частности, в качестве факторов риска на российском рынке были выбраны взаимосвязанные и ключевые для российского рынка параметры ва-лютного курса и цены на нефть. тестирование модели проводилось на данных за 2005â€"2013 годы по 102 нефинансовым российским компаниям. Новизна в данной работе заключалась в следующем: во-первых, разработана новая модель оценки фактора влияния валютного риска на затраты на собственный капитал; во-вторых, произведен учет влияния валютного курса на риск колебаний денежных потоков, ставки дисконтирования и идиосинкратическую во-латильность в межвременной модели ценообразования активов; в-третьих, проведено тести-рование межвременной модели ценообразования активов на российском рынке. в результате подтвердилась сильная спецификация модели, что говорит о возможности еÑ' использования и необходимости учета макрофакторов при формировании портфеля для инвестирования в долгосрочной перспективе.English Abstract: The research is concentrated on the issue of evaluating the risk factors impact on the Russian market asset pricing. John campbell developed a global intertemporal asset pricing model that takes into account a number of risk factors in 2013. Emerging markets, including Russia, each possesses unique traits that make using global model risk factors in the local model complicated. Extra risks that are connected with developing countries market inefficiency, limited diversification possibilities, structural and institutional aspects command different key asset pricing influence factors and application of local models that estimate the demanded profitability per own capita. In particular, key interconnected Russian market indexes of the currency rate and oil pricing were chosen as risk factors for the Russian market. The model was tested using data on 102 non-financial Russian companies’ during 2005â€"2013. The novelty in this study was as follows: first, the new model of assessment of foreign exchange risk factors influence the cost of equity capital; secondly, made allowance for the influence of the exchange rate risk on cash flow fluctuations in the discount rate and idiosyncratic volatility in intertemporal asset pricing models; and thirdly, the tests carried out intertemporal asset pricing models in the Russian market. The results confirmed a strong model specification that talks about the possibility of its use and need to consider macro factors in the formation of the investment portfolio for the long term.

Спутниковое картографирование заболоченных ландшафтов тундры с помощью ILWIS GIS (Satellite Image Based Mapping of Wetland Tundra Landscapes Using ILWIS GIS) (Presentation Slides)
Lemenkova, Polina
Russian Abstract: Работа представляет исследование ландшафтов тундры с помощью спутниковых снимков и Ð"ИС. Цель и объект исследования - распределение разных типов ландшафтов в заболоченной тундре п-ова Ямал, а также мониторинг изменений ландшафтов тундры. Анализ динамики ландшафтов проанализирован за 2 декады (1988-2011). Ð' работе использованы геоданные: космические снимки Landsat TM на 1988 и 2011 г.г.English Abstract: The work presents the study of tundra landscapes using satellite images and GIS. The purpose and object of the study monitoring of changes in the distribution of different types of the wetland tundra landscapes located in the Yamal Peninsula, North Russia. The analysis of the landscape dynamics was analyzed for 2 decades: 1988-2011 using Landsat TM satellite imagery and ILWIS GIS.

Учет социальных рисков для оценки бизнеса в рамках управления, нацеленного на создание стоимости (Social Risks Accounting for Business Valuation According to the VBM-Approach)
Kovalenko, Alexander,Parshikov, Dmitry
Russian Abstract: Одним из распространенных и обсуждаемых в последнее время направлений является кон-цепция управления, нацеленного на создание стоимости (VBM) â€" так называемый Value-Based Management (а. дамодаран, а. раппопорт, Ñ‚. коупленд, д. мартин, д. петти, Ñ‚. коупленд). Этот подход к управлению основан на том, что управление должно быть направлено на соз-дание роста стоимости управляемого объекта, например предприятия (бусова, 2003). такое управление предполагает постоянное улучшение стратегических и оперативных решений на любых уровнях предприятия за счет концентрации общих усилий на главных стоимостных факторах (мирзоян, 2007). Управление, нацеленное на создание стоимости (VBM), можно определить как формализо-ванный и систематический подход к управлению предприятием, оно направлено на дости-жение основной цели â€" достижение максимальной величины стоимости и увеличение этой ценности для собственников предприятия в долгосрочной перспективе (волков, 2008).English Abstract: The article deals with the development of social risk assessment methodology in the framework of Value Based Management. We believe that dedicated social risks significantly affect the future state of the organization, its potential and therefore must be taken into account in the calculation of the financial metrics. We propose a type of technology to measure social risks and their contribution to the discount rate by using build up method. The proposed method allows incorporating non-financial indicator â€" the value of social risk, based on expert’s estimates, into the discount rate. therefore, it allows capturing the link between social risks and the goals of the organization. our method can be used for the evaluation of various projects, justifying the calculation of the discount rate used in value-based analytics in the company.