УДК 338.24.01

УПРАВЛЕНИЙ КРЕДИТНЫМ РИСКОМ ПРЕДПРИЯТИЯ – СУЩЕСТВУЮЩИЙ ИНСТРУМЕНТАРИЙ

Майорова Анна Павловна
Тольяттинский государственный университет
магистр

Аннотация
В статье рассматривается применяемый для управления кредитными рисками инструментарий. Выделяют факторы, оказывающие значительное влияние на комплекс кредитных рисков. К этим факторам относят – просроченную торговую задолженность, задолженность покупателей и существующих заказчиков по финансовым вложениям компаний. Дается анализ причин убытков организаций которые осуществляют коммерческое кредитование, к числу которых относят: -банкротство покупателей и заказчиков; -изменение стоимости ранее привлеченного капитала и т. д. Рассматривается вопрос о страховании нетто-позиций компаний осуществляющих операции связанные с кредитными рисками.

Ключевые слова: вероятность возникновения риска, источники возникновения кредитных рисков, кредитный риск, опционы, производные финансовые инстуемнты. внутристрановые риски, риск, уровень воздействия риска, хеджирование


DEPARTMENTS CREDIT RISK OF THE COMPANY – EXISTING TOOLS

Mayorova Anna Pavlovna
Togliatti State University
postgraduate student

Abstract
The article deals with the tools used for credit risk management. Allocate factors that have a significant impact on the complex of credit risks. These factors include - overdue trade debts, debts of customers and existing customers for financial investments of companies. The analysis of the reasons for losses of organizations that carry out commercial lending is given, among which are: - bankruptcy of buyers and customers; -the change in the value of previously attracted capital, and so on. The issue of insurance of net positions of companies performing operations related to credit risks is being considered.

Keywords: credit risk, derivative financial instruments. in-country risks, hedging, options, the level of exposure to risk, the likelihood of risk occurrence, the sources of credit risk occurrence


Рубрика: 08.00.00 ЭКОНОМИЧЕСКИЕ НАУКИ

Библиографическая ссылка на статью:
Майорова А.П. Departments credit risk of the company – existing tools // Современные научные исследования и инновации. 2017. № 10 [Электронный ресурс]. URL: http://web.snauka.ru/issues/2017/10/84558 (дата обращения: 08.11.2017).

Among the factors directly influencing credit risk (hereinafter – CR) companies are the following: – overdue trade debt, obligations of customers and customers on the company’s financial investments.

As a result of the research conducted by KPMG, which reflected the impact of the CR on the activities of Russian organizations, the results of an assessment of the 93 largest Russian companies performing commercial lending were obtained.

Based on the results of the assessment, the following was revealed.

The main causes of losses of organizations that carry out commercial lending are:

- bankruptcy of buyers and customers (this reason for losses was diagnosed in 47 organizations);

- refusal in conscientious execution of contracts by new buyers and customers (21 organizations);

- Increase in the cost of borrowing and changes in exchange rates (16 organizations);

- change in the value of previously attracted capital (11 enterprises)

As it turned out from the results of the analysis, only 4 out of 93 organizations evaluated the factors that could adversely affect the activities of organizations and lead to an increase in the CR.

Heads of almost all of the 93 organizations recognized that the most important factors that affected the level of the CR were the consequences of the economic crisis associated with the rising cost of borrowing and changes in exchange rates – 64 organizations.

Thus, more than half of the managers of Russian companies recognize that the CR depends, among other things, on external factors, which include the cost of borrowing and the fluctuation of exchange rates.

The less the practice of economic activity of the world’s leading companies shows that there is a sufficiently effective method of managing these factors of the Kyrgyz Republic, which can be used with the help of a variety of derivative securities – options.

With the development of financial markets, in the twentieth century, due to the high rate of change in the price of financial instruments, as well as the rapid change in the price of the currency, investors began to face the question of insuring their positions against these factors and managing those factors that directly affect the CR.  As a result, it became a prerequisite for the wide use of such urgent instruments as options and futures, which allow transferring risks from some participants of financial markets to others.

Option – an agreement whereby a potential buyer or potential seller receives a right, but not an obligation, to purchase or sell the underlying asset (commodity, security ) at a predetermined price at a specified time in the future or for a certain period of time. The option is one of the derivative financial instruments.

For a more complete understanding of this topic, read and understand the following terms.

In the definition of the option we are faced with the term – the underlying asset – namely, it is the underlying derivative financial instruments , financial derivatives ( futures , option ) and has a valuation of an asset, which is supplied under the contract or the price which is the basis for calculating the performance of fixed-term contract .

As a basic asset under a fixed-term contract may be:

Bonds

- Exchange commodities ;

Currency

- interest rates ;

- the level of inflation ;

- official statistical information ;

- Exotic (weather), etc.

Next, we will get acquainted with the concept of a derivative financial instrument (derivative): it is a contract ( contract ) providing, in accordance with its terms and conditions for parties to the contract, the exercise of rights and / or performance of obligations associated with a price change of the underlying asset underlying this financial instrument and leading to a positive or negative financial result for each party.

A derivative financial instrument can have more than one underlying asset. Usually, the purpose of buying a derivative is not to obtain a basic asset , but a hedge   price or currency risk in time, or the receipt of speculative profit from the price change of the underlying asset. We will discuss the term “hedging” later. A distinctive feature of derivatives is that they are not related to the amount of the underlying asset traded on the market. Holders of a basic asset usually have nothing to do with the issue of derivatives.

The derivative has the following characteristics:

- its value changes following the change in the price of the underlying asset (interest rate, commodity or security price, exchange rate, price index or rates, credit rating or credit index, another variable);

- for its acquisition sufficiently small initial costs in comparison with other instruments, prices for which similarly react to changes in market conditions;

- calculations on it are carried out in the future.

In effect, a derivative is an agreement between two parties under which they assume an obligation or acquire the right to transfer a certain asset or amount of money on a specified date or until it comes at an agreed price [15, c.21].

Since most often the main purpose of buying a derivative is not the acquisition of a basic asset, but a hedge, it is necessary to consider this term in more detail.

Hedging – opening transactions in one market to compensate for the impact of price risks of an equal but opposite position in another market. Hedging is generally carried out for the purpose of   insurance of risks of price changes by concluding transactions in futures markets .At present, hedging is aimed at risk optimization [21, c.97].

It is important to understand that the result of hedging is not only the reduction of risks, but also the reduction of possible profits.

The purpose of hedging (risk insurance) is to protect against adverse changes in prices on the stock market, commodity assets, currencies, interest rates, and so on. For example, an investor has Gazprom shares in his portfolio, but he avoids lowering the price of this instrument, so he opens a short position on the futures on Gazprom or buys a put option, and is thus insured against falling prices for this asset.

Let’s define such an indicator as volatility – a statistical financial indicator characterizing the volatility of the price.

Next, consider options, their types and options strategies for spreads.

There are several types of options, namely American and European:

- An American option can be redeemed on any day of the period before the expiration of the option. That is, for such an option, a period is set, during which the buyer can execute this option;

- The European option can be repaid only on one specified date (expiry date, maturity date, maturity date).

There are also several types of options that can be both for the purchase and sale of the underlying asset, namely:

- call option   – option to purchase. Gives the buyer the option to buy   fixed asset at a fixed price.

- put option   – option for sale. Grants the option buyer the right to sell   fixed asset at a fixed price.

Regardless of the style of the option, there is a bonus for each of them.

The option premium is the amount of money paid by the option buyer to the seller when concluding an options contract. In economic terms, the premium is a payment for the right to conclude a transaction in the future. Under the phrase “price option”, mean an option premium. The exchange option premium is   quote   on it. The size of the premium is usually established as a result of equalization of demand and supply in the market between buyers and sellers of options.

Consider the parties involved in the transactions on options contracts.

The option seller is the party that grants the right to purchase or sell a certain asset at a certain price in the future. The option seller immediately receives an award for granting the buyer the right to demand performance of the contract. The seller assumes the obligation to sell the asset (seller for sale) or buy the asset (the seller of the purchase).

The option buyer is the party that receives the right to buy or sell a certain asset at a certain price in the future. The buyer of the option immediately pays the premium for granting the seller the right to demand fulfillment of the contract.

Analyze call and put options, as well as associated options strategies.

Call option is a financial agreement between two parties, one of which is the buyer, and the other is the seller of this option type .This option gives the right (but not the obligation) to buy in the future the agreed amount of securities or another   the underlying asset at a price specified in the contract for a limited period or to refuse such a purchase. The seller must sell the bargain item or financial instrument if the buyer so decides. The buyer pays the seller the premium for this.

From the above, we can identify two simple strategies for calling options. The first strategy for buying is when the call option buyer makes a profit if the price of the underlying asset grows in the future. A call- option is beneficial for a buyer when the value of securities increases, approaching the estimated value. The buyer of the call option calculates that the most likely value of the underlying asset will grow by the date of concluding the purchase and sale transaction. The financial risk is limited by the amount of the insurance premium paid. The profit for the buyer is not limited. We can consider this strategy on the chart, it is indicated by a continuous line.  The second strategy for selling – the seller receives a profit in the form of an option premium, as well as undertakes to sell the buyer a basic asset at a stipulated price. The seller assumes that the price for the underlying asset will not increase and the buyer will not come to fulfill this contract. We can consider this strategy on the chart, it is indicated by a dashed line.

Put option is a financial agreement between two parties, according to which the buyer acquired the right (but not the obligation) to sell a certain amount of the underlying asset   the seller   option at a fixed price during the term of the option. The value of an option is determined   The premium paid by the buyer of the option to the seller.

Profitability   on options for parties to an option contract depends on the change in the market price of the underlying asset underlying the option. If the market price of the underlying asset exceeds the strike price, then the owner of the option (buyer of the option) will not exercise his right to sell by option, because in this case, he will be forced to sell at a price below the market price and his loss will be equal to the difference between the market price and the strike price .If the market price is lower than the strike price, then the owner of the option will be able to exercise his right to sell at a higher price. In this case, its profit will be equal to the difference between the strike price (strike price) and the market price minus the premium on the option paid when buying the option. Thus, the conclusion of an option transaction allows the buyer (holder) of the option to profit in the situation of a fall in the market price.

Also consider the concepts that further characterize the option. These include:

- an option with money – calling securities contracts are called “in cash” when the exercise price of an option is less than the price of the underlying asset at the current time. Put contracts for securities are called “in money”, when the exercise price of an option is less than the price of the underlying asset at the moment ;

- an option outside of money – calling securities contracts are called “out of money” when the exercise price of an option is greater than the price of the underlying asset at the current time. Put securities contracts are called “out of money” when the exercise price of an option is greater than the price of the underlying asset at the moment ;

- internal value – part of the market price of the present moment of the call or a put in the contract, if any ;

- time value – for a stake or a put, this is the portion of the option premium (price) that exceeds the intrinsic value of the contract, if any (that is, if the option is “in money”).By definition, the option premium “on money” and “outside money” consists entirely of time value. In addition to temporary disintegration, the time value is also affected by changes in volatility, interest rates and dividends ;

- Expiry date is the day when the traded contract officially expires and ceases to exist. For options on securities this is Saturday following the third Friday of the expiration month. The last day when the expiring option on the security is traded and can be executed by the holder is the day before the expiration day, or usually the third Friday of the month ;

- strike price (strike price) is the price for one share, which is the transaction in the basic share between the option seller and its buyer in the event that the buyer of the contract decides to execute it.

To more complex options strategies include: spreads, streddles, strangles, strips, strip.


References
  1. Sheremet, AD The method of financial analysis of commercial enterprises AD Sheremet / 2 ed., Pererab. and additional. – M.: INFRA-M, 2013. – 208 p.
  2. Sadchikova, TA A system for managing financial resources in joint-stock companies / TA Sadchikova // Bulletin of the Samara State Economic University.Samara
  3. Khalakoev, AM Management of the development potential of territorial economic systems / AM Khalakoev // Proceedings of the International Scientific and Methodological Conference “Modern Problems of Economic and Social Development”. – Stavropol: AGRUS, 2013.
  4. Encyclopedia of financial risk management / Ed.A. A. Lobanova, A. V. Chugunov. – Moscow: Alpina Pablisher, 2013. – 786 p.


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