Risk management of derivative financial instruments

Yuryevna, Oksana Kirillova; Sergeevna, Ellina Emelyanova

doi:10.5937/intrev2102091k

Cited by 4 publications

(2 citation statements)

References 5 publications

(3 reference statements)

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“…At present, with the growing demand of investors for risk management, insurance institutions need to provide more risk management services. Derivative financial instruments, as an effective risk management tool, can help insurance institutions meet this demand, and at the same time provide more investment choices for customers (Kirillova, 2021). For example, through the use of interest rate derivatives, insurance institutions can lock in future investment returns, thereby reducing the impact of interest rate fluctuations.…”

Section: Environmental Analysis Of the Basic Insurance Marketmentioning

confidence: 99%

An Economic Analysis of the Use of Derivative Financial Instruments in Insurance Institutions

Shentu

2023

JSS

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The transformation of the development form of the insurance market, to a certain extent, will lead to social and economic changes, combined with the actual analysis of the demand, put forward the analysis and research on the economics of the use of derivative financial instruments of insurance institutions. According to the current research direction of economics and the operation status of insurance institutions, the first basic insurance market environment analysis, combined with market changes, control analysis of the use of insurance derivatives of financial instruments economic changes in the characteristics of the trend study, the use of multi-level approach, the construction of multi-level insurance derivatives of financial instruments using the economics of the analysis model, as a basis for the eventual hedge control processing methods to achieve the economics of multi-dimensional analysis, for the subsequent derivatives of financial instruments. On the basis of this, we finally realize the economic analysis through the hedge control processing method, which provides reference basis and theoretical reference for the subsequent use of derivative financial instruments.

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Section: Environmental Analysis Of the Basic Insurance Marketmentioning

confidence: 99%

An Economic Analysis of the Use of Derivative Financial Instruments in Insurance Institutions

Shentu

2023

JSS

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“…Some banks distinguish between "normal" and "forced" valuations, and some banks consider "average" and "worst case" values. Some banks require additional collateral and/or other forms of risk mitigation under the terms of the contract to maintain the expected scope of recovery [9].…”

Section: Definition Of Losses and Defaultsmentioning

confidence: 99%

The role of the banks' rating system in the allocation of loans

Šegrt,

Vučinić,

Mihajlović

et al. 2023

International Review

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The subject of this paper is the analysis of the application of banking internal credit risk measurement models for the purpose of calculating the minimum regulatory capital. The Basel Committee established proposals for an internal rating-based approach (IRB approach-internal rating-based) to capital requirements for credit risk. Such an approach, which relies on the bank's internal assessment of counterparties and exposures, can ensure two key objectives: the first is additional risk sensitivity, in which capital requirements based on internal ratings can be much more sensitive on the drivers of credit risk of economic losses in the banking portfolio; the second is incentive compatibility, where the appropriate structure of the RBI approach can provide a framework that encourages banks to continue to improve their internal risk management practices. The internal ranking approach aims to improve the safety and soundness of the financial system. The paper defines the terminology and classification of the rating system. The probability of default (PD-probability at default) and the other two risk components LGD (loss given default) and EAD (exposure at default) are key input parameters for the calculation of regulatory capital. The rating system is, therefore, a significant driver of risk management and financial performance measurement. To be in a position to demonstrate to supervisors that an internal rating system should be used for the purposes of determining minimum regulatory capital requirements, banks must first demonstrate that the rating system is an integral part of their ongoing operations and risk management culture.

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Application of the VAR model in examining the determinants of returns of selected cryptocurrencies

Stanković¹,

Đorđević²,

Milojević³

2023

Bizinfo

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The increase in the value of cryptocurrencies, market capitalization, and volume of trading on crypto exchanges resulted in a significant increase in the interest of researchers in this decentralized financial system. The two most popular cryptocurrencies today - bitcoin and ethereum - have captured the greatest attention of researchers. Given that cryptocurrency trading is similar to stock trading, the author's assumption is that their returns are determined by the price of gold and the volatility index - VIX, representing this paper's research hypothesis. Testing through vector autoregression (VAR) models, Granger causality tests, and impulse response function (IRF) shows that gold returns do not impact, unlike the VIX volatility index and Ethereum, indicating a significant relationship between cryptocurrencies bitcoin and US stock markets. On the other hand, Bitcoin returns and the volatility index cause ethereum returns, while gold returns do not.

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Risk management of derivative financial instruments

Cited by 4 publications

References 5 publications

An Economic Analysis of the Use of Derivative Financial Instruments in Insurance Institutions

An Economic Analysis of the Use of Derivative Financial Instruments in Insurance Institutions

The role of the banks' rating system in the allocation of loans

Application of the VAR model in examining the determinants of returns of selected cryptocurrencies

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