Currency risk management: The experience of Russian companies / Kosarev A.S., Nepp A.N., Nikonov O.I. // IFAC Proceedings Volumes (IFAC-PapersOnline). - 2012. - V. , l. . - P. 241-245.

ISSN:

14746670

Type:

Conference Paper

Abstract:

Exchange rate fluctuation has a significant impact on the economic results of different economic agents. In this report two exchange rate forecast models are analyzed that are based on macroeconomic factors, such as RiskMetrics Group Inc. (RMG) (NYSE: RISK) and Krugman-and-Obstfeld models and VaR Methodologies. The models are widely used in analysis and forecasting of USD/RUR exchange rates. Comparative analysis was done between currency risks minimization instruments that are used in Russian business practice. The authors emphasize the most efficient instruments for small and large-scale business. © 2012 IFAC.

Author keywords:

Currency risks; Exchange rate forecast; Instruments of currency risks minimization; Model

Index keywords:

Business practices; Comparative analysis; Economic agents; Economic results; Exchange rates; FORECAST model; Large-scale business; Two exchange rates; Finance; Forecasting; Instruments; Models; Optimi

DOI:

10.3182/20120913-4-IT-4027.000

Смотреть в Scopus:

https://www.scopus.com/inward/record.uri?eid=2-s2.0-84881071332&doi=10.3182%2f20120913-4-IT-4027.00047&partnerID=40&md5=f589436ff70af3bd1d723af6fdf115d6

Соавторы в МНС:

Другие поля

Поле	Значение
Link	https://www.scopus.com/inward/record.uri?eid=2-s2.0-84881071332&doi=10.3182%2f20120913-4-IT-4027.00047&partnerID=40&md5=f589436ff70af3bd1d723af6fdf115d6
Affiliations	Department of Integrated Energy Systems, JSC, Russian Federation; Ural Federal University named after the First President of Russia Boris N. Yeltsin, 620000, Ekaterinburg, Russian Federation
Author Keywords	Currency risks; Exchange rate forecast; Instruments of currency risks minimization; Model
References	Vafina, N.H., Alekseev, A.D., Management of currency risk for international corporations (2007) Bank Service, (7), pp. 27-31; Crugmann, P., Obstfeld, M., (2003) International Economy: Theory and the Policy, , Moskow, Jupiter; Nepp, A.N., Kosarev, A.S., Ponomarjova, E.S., Lepikhin, A.A., Currency risk influence in the results of the enterprises: Estimation and its application (2010) Financial Risk Management, (1); Nepp, A.N., Ponomarjova, E.S., Model of the prognostication of the exchange rate (2009) USTU-UPI Herald, (5); Polterovitch, V., Popov, V., Evolutionary theory of the economic policy. Pt.1. Experience of the rapid development (2006) Economic Problems, (7); U.S. Bureau's of Labour Statistics Official, , www.bls.gov, Worldbank's official site: www.worldbank.org Ministry's of finance of the Russian Federation official site: www.minfin.ru; www.ustreas.gov; OJSC's «Magnitogorsk Iron & Steel Works» Official, , www.mmk.ru; www.rts.ru; www.cbr.ru; www.federalreserve.gov; Federal State Statistic Servic's of the Russian Federation Official, , www.gsk.ru; Schitenkov, R.V., (2002) Methods of Estimation and Control of Financial Risks, , the PHD's thesis. Moscow: Plekhanov Russian University of Economics
Correspondence Address	Department of Integrated Energy Systems, JSCRussian Federation
Sponsors	IFAC TC 2.4. Optimal Control;TC 1.2 Adaptive and Learning Systems;TC 1.5 Networked Systems;TC 2.1 Control Design;TC 2.2 Linear Control Systems
Conference name	15th IFAC Workshop on Control Applications of Optimization, CAO 2012
Conference date	13 September 2012 through 16 September 2012
Conference location	Rimini
Conference code	98328
ISBN	9783902823144
Language of Original Document	English
Abbreviated Source Title	IFAC Proc. Vol. (IFAC-PapersOnline)
Source	Scopus