Dynamic Risk Management of Investment Portfolio by Futures Contracts

2018 ◽  
pp. 147-162
Author(s):  
Alexander K. Kerimov ◽  
Oleg I. Pavlov
Keyword(s):  
Risk Management ◽  
Moving Average ◽  
Management Strategies ◽  
Minimum Variance ◽  
Futures Contracts ◽  
Investment Portfolio ◽  
Expected Return ◽  
Dynamic Risk ◽  
Dynamic Risk Management ◽  
Risk Management Strategies

This chapter is devoted to the dynamic risk management of the investment portfolio using future contracts. The number of futures for each portfolio asset, which is determined by portfolio effectiveness and acceptability of risk at each step, serves as a control parameter. The authors define effective portfolios as the ones of the minimum variance with the expected return greater than or equal to the specified value. Risk is measured by the probability of losing a certain part of the portfolio value. Effective adaptive strategies of portfolio risk management are proposed and their comparative analysis is carried out on a concrete example. In order to determine risk management strategies, the authors implement simple methods of volatility forecasting and correlation of relative changes of price data based on exponential moving average.

RISK MANAGEMENT OF DOMESTIC COMMODITY PRODUCERS USING STOCK MARKET INSTRUMENTS

2019 ◽  
Vol 4 (3) ◽  
pp. 94-101
Author(s):  
Oleh TIAHNYRIADNO
Keyword(s):  
Risk Management ◽  
Production Efficiency ◽  
Stock Exchange ◽  
Management Strategies ◽  
Developed Countries ◽  
Futures Contracts ◽  
Internal Factors ◽  
Market Participants ◽  
Constant Change ◽  
Risk Management Strategies

Introduction. One of the peculiarities of Ukrainian agrarian market functioning is the growth of uncertainties, whose impact has increased significantly as a result of globalization processes. The constant change of external and internal factors causes risks, which become the main problem of management, as they determine the directions and production efficiency and agricultural products sale. Therefore, there is a need to apply progressive risk management methods and tools that are effective and efficient under current conditions. Companies use derivatives (trusted derivatives) to turn their cases around and limit uncertainty about future businesses for revitalization. Therefore, derivatives are actually invested in some economies and make their effectiveness for a higher level of valuable assets in the course of exchange trading. The purpose of the article is to substantiate scientifically theoretical positions and methodological approaches, to develop alternative risk management strategies through stock exchange instruments, namely types of derivatives – options. Results. The importance of theoretical bases formation of the risk essence is substantiated that can be faced by domestic producers. The ways of uncertainties occurrence, stages of their transformation are explained. The theoretical approach to risk management through the use of futures contracts is systematized. The historical stages of using derivatives development have been evaluated. The new approach to risk management is proposed through the use of the optional Collar strategy. Conclusions. Any business activity is unthinkable without risks in developed countries, so any manufacturer seeks to insure its risk, including through a fixed market. The terminal market allows for redistribution of risks among market participants, on which a particular derivative operates. The advantage of derivatives is the leverage that allows participants to operate large amounts of risk management funds, including hedging their own products. Keywords: risk, risk management, risk management, hedges, options, futures, derivatives, derivatives.

The management of risk in a dryland environment

2011 ◽  
pp. 13-21
Author(s):  
D.I. Gray ◽  
J.I. Reid ◽  
D.J. Horne
Keyword(s):  
Risk Management ◽  
Service Providers ◽  
Management Strategies ◽  
Subterranean Clover ◽  
Farming Systems ◽  
Market Risk ◽  
Farm Size ◽  
Forage Crops ◽  
Risk Management Strategies ◽  
Upside Risk

A group of 24 Hawke's Bay hill country farmers are working with service providers to improve the resilience of their farming systems. An important step in the process was to undertake an inventory of their risk management strategies. Farmers were interviewed about their farming systems and risk management strategies and the data was analysed using descriptive statistics. There was considerable variation in the strategies adopted by the farmers to cope with a dryland environment. Importantly, these strategies had to cope with three types of drought and also upside risk (better than expected conditions), and so flexibility was critical. Infra-structure was important in managing a dryland environment. Farmers chose between increased scale (increasing farm size) and geographic dispersion (owning a second property in another location) through to intensification (investing in subdivision, drainage, capital fertiliser, new pasture species). The study identified that there may be scope for further investment in infra-structural elements such as drainage, deeper rooting alternative pasture species and water harvesting, along with improved management of subterranean clover to improve flexibility. Many of the farmers used forage crops and idling capacity (reduced stocking rate) to improve flexibility; others argued that maintaining pasture quality and managing upside risk was a better strategy in a dryland environment. Supplementary feed was an important strategy for some farmers, but its use was limited by contour and machinery constraints. A surprisingly large proportion of farmers run breeding cows, a policy that is much less flexible than trading stock. However, several farmers had improved their flexibility by running a high proportion of trading cattle and buffer mobs of ewe hoggets and trade lambs. To manage market risk, the majority of farmers are selling a large proportion of their lambs prime. Similarly, cattle are either sold prime or store onto the grass market when prices are at a premium. However, market risk associated with the purchase of supplements and grazing was poorly managed.

Dynamic Risk Management

2012 ◽  
Author(s):  
Adriano A. Rampini ◽  
Amir Sufi ◽  
S. "Vish" Viswanathan
Keyword(s):  
Risk Management ◽  
Dynamic Risk ◽  
Dynamic Risk Management

The Effects of Decision Aid Orientation on Risk Factor Identification and Audit Test Planning

2002 ◽  
Vol 21 (2) ◽  
pp. 39-56 ◽  
Author(s):  
Jean C. Bedard ◽  
Lynford E. Graham
Keyword(s):  
Risk Factors ◽  
Risk Management ◽  
Decision Aid ◽  
Decision Aids ◽  
Management Strategies ◽  
Risk Identification ◽  
Matched Pair ◽  
Audit Planning ◽  
Audit Firms ◽  
Risk Management Strategies

In auditing, risk management involves identifying client facts or issues that may affect engagement risk, and planning evidence-gathering strategies accordingly. The purpose of this paper is to examine whether auditors' identification of risk factors and planning of audit tests is affected by decision aid orientation, i.e., a “negative” focus wherein client risk and its consequences are emphasized, or a “positive” focus where such factors are not emphasized. Specifically, we expect that auditors will identify more risk factors using a negatively oriented risk identification decision aid, but only when engagement risk is relatively high. We address this issue in the context of auditors' knowledge of actual clients, manipulating decision aid orientation as negative or positive in a matched-pair design. Results show that auditors using the negative decision aid orientation identify more risk factors than do those using a positive orientation, for their higher-risk clients. We also find that decisions to apply substantive tests are more directly linked to specific risk factors identified than to direct risk assessments. Further, our results show that auditors with repeat engagement experience with the client identify more risk factors. The findings of this study imply that audit firms may improve their risk management strategies through simple changes in the design of decision aids used to support audit planning.

scholarly journals Evaluation of Physical Risk during Necropsy and Morgue Activities as Risk Management Strategy

2021 ◽  
Vol 18 (16) ◽  
pp. 8266
Author(s):  
Zoe Del Fante ◽  
Nicola Di Fazio ◽  
Adriano Papale ◽  
Paola Tomao ◽  
Fabio Del Duca ◽  
...  
Keyword(s):  
Risk Factors ◽  
Risk Management ◽  
Management Strategies ◽  
Risk Management Strategy ◽  
Work Related ◽  
Activity Measurements ◽  
Risk Management Strategies ◽  
Physical Risk ◽  
Critical Issues ◽  
Load Handling

Physical risk assessments allow us to understand work-related critical issues, thus representing a useful tool in risk management strategies. In particular, our study focuses on the identification of already known and emerging physical risks related to necropsy and morgue activities, as well as crime scene investigations. The aim of our study is, therefore, to identify objective elements in order to quantify exposure to such risk factors among healthcare professionals and working personnel. For the research of potentially at-risk activities, data from the Morgue of Policlinico Umberto I Hospital in Rome were used. The scientific literature has been reviewed in order to assess the risks associated with morgue activity. Measurements were performed on previously scheduled days, in collaboration with the activities of different research units. The identified areas of risk were: microclimate; exposure to noise and vibrations; postural and biomechanical aspects of necropsy activities. The obtained results make it possible to detect interindividual variability in exposure to many of the aforementioned risk factors. In particular, the assessment of microclimate did not show significant results. On the contrary, exposure to vibrations and biomechanical aspects of load handling have shown potential risk profiles. For this reason, both profiles have been identified as possible action targets for risk management strategies.

Perceived Risk and Risk Management Strategies in Pond Aquaculture

2021 ◽  
Vol 36 (1) ◽  
pp. 43-69
Author(s):  
Md Takibur Rahman ◽  
Rasmus Nielsen ◽  
Md Akhtaruzzaman Khan ◽  
Dewan Ahsan
Keyword(s):  
Risk Management ◽  
Perceived Risk ◽  
Management Strategies ◽  
Pond Aquaculture ◽  
Risk Management Strategies

scholarly journals Risk management strategies and therapeutic modalities to tackle COVID-19/SARS-CoV-2

2020 ◽  
Author(s):  
Syed Muhammad Ali Shah ◽  
Tahir Rasheed ◽  
Komal Rizwan ◽  
Muhammad Bilal ◽  
Hafiz M.N. Iqbal ◽  
...  
Keyword(s):  
Risk Management ◽  
Management Strategies ◽  
Therapeutic Modalities ◽  
Risk Management Strategies
Sign in / Sign up

Export Citation Format

Share Document