Improving the Oktyabrskaya Railway passenger complex performance with a decision-making algorithm using analytical quality tools

bjective: Development of an instrument to form measures aimed at improving and monitoring their im- plementation, which will consider deviations from the specified parameters. The formation instrument is regarded as a complete set of elements for performing a function by systematizing a set of units (objects, phenomena), i. e., step-by-step application of tools compiled into a single algorithm. Methods: The main tools for analyzing and managing the passenger complex during ongoing activities are: Pareto chart, cause & effect diagram (Ishikawa), correlation, risk management (3-map method), strategic management (X-matrix), etc. Results: The study has revealed that the formation instrument consists of a sequence of systematic forecasting and evaluation of the algorithm of sequential operations: statistics, analysis, risk calculation, verification, control, etc. It has been established that it is necessary to strive for the ability to achieve a given parameter of the process stability in the passenger complex avoiding critical devia- tions from the desired result. Practical importance: Using the example of the 2019/2020 Oktyabrskaya Railway passenger complex winterization, the apparently universal principle of using the formation in- strument has been demonstrated. This principle can be not only applied to other passenger complex pro- cesses but also used in the processes of other facilities in the Russian Railways network.

How correlation risk in basket credit derivatives might be priced and managed?

In this paper, we construct quantitative models in which the dependence structure of the firms’ default times is incorporated. Such models serve as the underlying frameworks in our proposed approach to price and hedge basket credit derivatives. Through the Gaussian copula-based method, we model the default correlation risk and develop valuation formulas for credit derivatives. Using single-name derivatives in a hedging strategy for basket credit derivatives, the utility of the delta and delta-gamma hedging techniques are examined. This enables the management of risk attributed to the changes in correlation without the need for a large number of hedging instruments. Our research contributions provide insights on how dependent risks in basket credit derivatives could be dealt with effectively.

EFEKTIVITAS PEMBAYARAN NON TUNAI PADA UMKM DAERAH ALIRAN SUNGAI CITARUM

<p class="Style4"><span>The rapid development of non-cash payment systems has also developed non-cash payment instruments which are alternative choices for MSMEs in the Citarum river basin to increase sales because they offer convenience to customers. MSMEs in the Citarum River Basin still need to accelerate in terms of business strategies to improve their business results. This needs to be done because buying and selling transactions with a non-cash payment system can be an efficient payment alternative as well as for transactions that can increase the effectiveness of the payment system at MSMEs. This research aims to help the community and MSMEs in the Citarum watershed to be more effective in making payment systems so that people make payments more easily and can increase sales. Non-cash payment systems are very useful for business people and the community in making payments so that MSMEs in the Citarum watershed are more advanced. The method used is the biplot and logit to determine the mapping model of the effectiveness of non-cash payments to MSMEs. The results of this study are that overall perceptions of benefits, convenience and risk from MSMEs do not significantly influence the effectiveness of non-cash payments. Between Perception of Benefits, Perception of Ease and Effectiveness has a positive correlation. Risk perception with other variables has a very low correlation.</span></p><p class="Style4"><span><strong>Key words:</strong> effectiveness, non-cash payment system, MSME</span></p>

Dispersion trading: an empirical analysis on the S&P 100 options

This study provides an empirical analysis back-testing the implementation of a dispersion trading strategy to verify its profitability. Dispersion trading is an arbitrage-like technique based on the exploitation of the overpricing of index options, especially index puts, relative to individual stock options. The reasons behind this phenomenon have been traced in literature to the correlation risk premium hypothesis (i.e., the hedge of correlations drifts during market crises) and the market inefficiency hypothesis. This study is aimed at evaluating whether dispersion trading can be implemented with success, with a focus on the Standard &amp;amp; Poor’s 100 options. The risk adjusted return of the strategy used in this empirical analysis has beaten a buy-and-hold alternative on the S&amp;amp;P 100 index, providing a significant over-performance and a low correlation with the stock market. The findings, therefore, provide an evidence of inefficiency in the US options market and the presence of a form of “free lunch” available to traders focusing on options mispricing.