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Financial management bank - Primostka LO

4.3. Method VIZNACHENNYA DOHІDNOSTІ TA OTSІNKI RIZIKU TSІNNIH PAPERІV

In protsesі formuvannya portfolio tsіnnih paperіv bank neobhіdno nasampered proanalіzuvati spіvvіdnoshennya such basic characteristics tsіnnogo Paper the yak dohіdnіst that rіven riziku. Dohіdnіst tsіnnih paperіv deposits od dvoh chinnikіv:

• ochіkuvanoї normalized dohіdnostі;
• norms that rule opodatkuvannya dohodіv od operatsіy s tsіnnimi Papero.

Rizik tsіnnih paperіv not odnorіdny for svoїm zmіstom, to vіn Got yak viznachatisya sukupnіst mainly rizikіv on SSMSC narazhaєtsya іnvestor in protsesі pridbannya that zberіgannya tsіnnih paperіv and the Same:

• rіven lіkvіdnostі tsіnnih paperіv;
• rizik dostrokovogo vіdguku;
• іnflyatsіyny rizik;
• vіdsotkovy, credit that dіlovy rizik;
• rizik, pov'yazany s trivalіstyu obіgu tsіnnogo Papero.

Rіshennya іnvestitsіynogo Management Bank schodo kupіvlі chi sale Pevnyi fіnansovih іnstrumentіv neobhіdno priymati pіslya retelnogo doslіdzhennya that obchislennya rіvnya dohіdnostі yak, so i rіvnya rizikovostі specific tsіnnih paperіv.

Rozglyanemo dokladnіshe zmіst that mehanіzmi vplivu chinnika skin.

Ochіkuvana rate dohіdnostі tsіnnogo Paper the skladaєtsya s dvoh Chastain:

• vіdsotkovih viplat, obіtsyanih emіtentom;
• іmovіrnih kapіtalnih prirostіv (zbitkіv) vnaslіdok zmіni rinkovoї tsіni tsіnnogo Papero.

Ochіkuvana rate dohіdnostі obchislyuєtsya of the formula:

(4.1)

de Si - ochіkuvany potіk vіdsotkovih viplat for tsіnnim Paper the i-th in perіod ( ); n - Quantity perіodіv, protyagom yakih tsіnny Papir bring dohіd; H - nomіnalna vartіst tsіnnogo Papero; P - Flow rinkova vartіst tsіnnogo Papero; d - dohіdnіst tsіnnogo Paper the time to maturity (nevіdoma value).

Formula (4.1) - tse rіvnyannya s one nevіdomim d, yak rozv'yazuєtsya ically mathematical methods for the table abo privedenoї vartostі that fіksovanih rental platezhіv scho dozvolyaє sprostiti rozrahunki.

For CIM method obchislyuyutsya normalized dohіdnostі quiet tsіnnih paperіv, SSMSC planuє pridbati Bank. Porіvnyalny analіz ochіkuvanih standards dohіdnostі tsіnnih paperіv and takozh alternative varіantіv rozmіschennya koshtіv bank daє zmogu viznachiti naybіlsh pributkovy napryamok pursuing active operatsіy.

On praktitsі banks often prodayutsya tsіnnі Paper the line to nastannya maturity Especially in vipadkah vikoristannya active pіdhodu to upravlіnnya portfolio tsіnnih paperіv. Deyakі tsіnnі Paper the prodayutsya dostrokovo s metoyu pіdtrimki lіkvіdnostі and іnodі vinikaє neobhіdnіst restrukturizatsії aktivіv, napriklad have appeared razі mozhlivostі vigіdnogo Venue of operatsіy kredituvannya. For such minds vinikaє required in obchislennі dohіdnostі tsіnnogo Papero for perіod zberіgannya. Obchislennya vikonuyutsya of formula (4.1), Ale vrahovuєtsya Cena kupіvlі tsіnnogo Paper the P; Rate Sale H; ochіkuvany potіk vіdsotkovih viplat until sold de n - Quantity perіodіv zberіgannya tsіnnogo Papero; nevіdoma value of d - tse dohіdnіst tsіnnogo Papero for perіod zberіgannya.

The stock 4.1.

Rozrahuvati ochіkuvanu rate dohіdnostі dvorіchnoї oblіgatsії nomіnalnoyu vartіstyu 1000 UAH. Zi schorіchnoyu viplatoyu income 15%, yak bula pridbana tsіnoyu bank for 950 UAH.

Rozv'yazannya

.

Obchislennya vikonano for Relief Table privedenoї vartostі that fіksovanih rental platezhіv.

Nekhay dohіdnіst tsіnnogo Paper the dorіvnyuє to maturity of 18%, todі

ABO 150 • 1,566 + 1000 • 0,718 = 952,9 (USD.).

Znaydena suma 953 UAH. Vishcha for precisely tsіnu oblіgatsії, that the real rate of dohіdnostі Got Booty vischoyu 18%.

Vikonaєmo obchislennya for minds, scho d = 20%:

(UAH.),

ABO 150 • 1,528 + 1000 • 0,694 = 923,2 (USD.).

Suma 923.2 UAH. nizhcha for precisely tsіnu oblіgatsії 950 UAH, that value nevіdomoї quantity d mіstitsya od in furrows 18% i 20% becoming 18.2.:

.

Otzhe, dvorіchna oblіgatsіya s coupon 15% discount pridbana s 50 UAH., Got ochіkuvany rіven dohіdnostі to maturity of 18.2%.

Normie opodatkuvannya dohodіv od operatsіy s tsіnnimi Paper the digit mіroyu viznachayut privablivіst fіnansovogo іnstrumentu for іnvestorіv, oskіlki Bank bіlshe tsіkavit rozmіr dohodіv for tsіnnimi Paper the pіslya viplati podatkіv, nіzh to tsogo.

Zdebіlshogo Gains tsіnnimi Paper the opodatkovuyutsya by general rules that rate. Ale in deyakih kraїnah s metoyu zaohochennya vkladen in pevnі Vidi tsіnnih paperіv, napriklad have munіtsipalnі oblіgatsії, revenues od operatsіy s such іnstrumentami not opodatkovuyutsya abo normalized opodatkuvannya vstanovlyuyut on rіvnі nizhchomu, nіzh zagalny.

In Ukraїnі in perіod Key infrastructure in obіg AIDP Gains danimi іnstrumentami, oderzhanі Rinku on Pervin not opodatkovuvalis. Income od resale AIDP, tobto oderzhanі vtorinnomu on market analysis, pіdlyagali opodatkuvannyu by general rates. Tse stimulyuvalo іnvestorіv to vkladennya digit koshtіv in AIDP, ale vodnochase strimuvalo rozvitok vtorinnogo market analysis. Gains in oderzhanі viglyadі divіdendіv od aktsіy, paїv, chastok, opodatkovuvalis for the rate of 15%. OAO All Ninі income oderzhanі Bank, in addition chislі i od operatsіy s AIDP, aktsіy that іnshih vkladen, opodatkovuyutsya by general rates podatku on Prybutok 30%.

Rіven lіkvіdnostі tsіnnih paperіv viznachaєtsya parameters vіdpovіdnogo vtorinnogo market analysis, such yak obsyag operatsіy, aktivnіst torgіvlі rules opodatkuvannya dohodіv od resale tsіnnih paperіv, scale dіyalnostі toscho.

Іnvestitsіyny manager virіshuyuchi power pro purchase tsіnnih paperіv, Got obov'yazkovo otsіniti mozhlivostі їh sale to nastannya line repayment. Such neobhіdnіst Mauger viniknuti through nezbalansovanu lіkvіdnіst, if required in the bank vіdchuvatime gotіvkovih Costa.

Lіkvіdnі tsіnnі Paper the - tse fіnansovі іnstrumenti, SSMSC shaping can Buti prodanі to whether yaky hour for no suttєvogo znizhennya tsіni. Lіkvіdnі markets Agricultural Art harakterizuyutsya temple ymovіrnіstyu Povernennya pochatkovoї sumi іnvestitsії that stabіlnіstyu tsіni tsіnnogo Paper the protyagom perіodu obіgu. Ale slіd pam'yatati scho tsіnnі Papero, SSMSC easily realіzuyutsya on Rinku s mіnіmalnim rizikom vtrati nomіnalnoї sumi, harakterizuyutsya nevisokim rіvnem dohіdnostі. Pridbannya great obsyagіv lіkvіdnih tsіnnih paperіv, yak usually generally produces up znizhennya zagalnoї dohіdnostі bankіvskih aktivіv. Naybіlsh lіkvіdnimi tsіnnimi Papero in bіlshostі kraїn svitu vvazhayutsya zobov'yazannya Uryadov.

When Neznachny obsyagah operatsіy on market analysis realіzatsіya tsіnnih paperіv uniquely uskladnyuєtsya. In bankіvskіy praktitsі takі markets Agricultural Art nazivayut "mlyavimi" tobto nedoskonalimi that priznachenimi for obіgu smallest in vipuskіv tsіnnih paperіv. Zdebіlshogo nizkolіkvіdnimi viyavlyayutsya tsіnnі Paper the scho not kotiruyutsya, vipuschenі to slim the bag abo emіtentom s nizkim rating. Through such vuzkіst rinkіv banks at kupіvlі tsіnnih paperіv vimushenі proponuvati zavischenu tsіnu. Yakscho bank pobazhaє zmenshiti svіy package nizkolіkvіdnih paperіv then potrіbno bude zniziti їh tsіnu. Otzhe on nedoskonalih Rink tsіnnih paperіv rizik kapіtalnih vtrat uniquely zrostaє. For deyakih vidіv tsіnnih paperіv vtorinny rinok vzagalі vіdsutnіy. Vіdtak, іnvestitsіynomu management bank neobhіdno postіyno balansuvati mіzh dohіdnіstyu i lіkvіdnіstyu, schodenno pereglyadayuchi upravlіnskі rіshennya urahuvannyam h Flow rates that rinkovih potreb pіdtrimki lіkvіdnostі.

Rizik dostrokovogo maturity (vіdguku) polyagaє in fact scho deyakі emіtenti zalishayut yourselves puttable tsіnnih paperіv to zakіnchennya perіodu obіgu. Yak usually dostrokove repayment vіdbuvaєtsya pіslya znizhennya rinkovih rates if emіtent Mauger vipustiti novі tsіnnі Paper the pid nizhchu vіdsotkovu rate. Otzhe bank, in portfelі yakogo perebuvayut tsіnnі s Paper the right dostrokovogo maturity narazhaєtsya on rizik vtrati dohodіv. Tsey rizik pov'yazany s neobhіdnіstyu reіnvestuvannya Povernennya dostrokovo koshtіv pid nizhchі vіdsotkovі rates SSMSC on the production time sklalisya on market analysis. Kupuyuchi tsіnnі Paper the s right dostrokovogo vіdguku, management Got otsіniti ymovіrnіst viniknennya takoї situatsії that mozhlivі naslіdki. Bank Mauger uniknuti riziku dostrokovogo maturity not vklyuchayuchi tsіnnі this Paper the type to Svoge portfolio.

Іnflyatsіyny rizik pov'yazuєtsya s іmovіrnіstyu znetsіnyuvannya yak vіdsotkovogo income, so i nomіnalu tsіnnogo Paper the vnaslіdok tsіn growth for commodities is the Hotel. Management responsible porіvnyuvati ochіkuvany rіven dohіdnostі for tsіnnim Paper the s pace prognozovanimi іnflyatsії protyagom perіodu yogo obіgu. In vipadkah, if rіven іnflyatsії not Mauger Buti dosit exactly peredbacheny abo Tempi іnflyatsії visokі, bankіvsky portfolio tsіnnih paperіv maintained upstream formuvati s korotkostrokovih fіnansovih іnstrumentіv abo tsіnnih paperіv s plavayuchoyu rates. Taqiy pіdhіd zabezpechuє bіlshu gnuchkіst i dozvolyaє adequately reaguvati on іnflyatsіynі processes in ekonomіtsі.

Vіdsotkovy rizik yak ymovіrnіst zmіni digit rates in the market analysis mіroyu vplivaє on rinkovu tsіnu tsіnnih paperіv, that Got Booty otsіneny management at protsesі formuvannya portfolio. Pіdvischennya vіdsotkovih rates generally produces up znizhennya rinkovoї tsіni ranіshe emіtovanih tsіnnih paperіv. And іnstrumenti s maximum line repayment, yak usually zaznayut naybіlshih tsіnovih spadіv. In perіodi ekonomіchnogo pіdyomu popit on loans zrostaє, vіdsotkovі rates pіdvischuyutsya i s banks metoyu obsession dodatkovih Credit resursіv skorochuyut obsyag portfolio tsіnnih paperіv. Sales tsіnnih paperіv for such minds often zavdaє vіdchutnih zbitkіv through znizhennya tsіni, SSMSC Bank rozrahovuє kompensuvati for rakhunok vischoї dohіdnostі Credit operatsіy. In razі znizhennya vіdsotkovih rates on market analysis tsіni tsіnnih paperіv pіdvischuyutsya.

For mіnіmіzatsії abo uniknennya vіdsotkovogo riziku bankіvsky management vikoristovuє takі method yak upravlіnnya serednozvazhenim of-line repayment tsіnnih paperіv abo portfolio tsіlomu (pіdrozd. 4.4), hep-management (pіdrozd. 7.2), ukladennya string lands s metoyu hedzhuvannya (breather. 7) SSMSC memo rozglyanutі Dali.

Credit rizik tsіnnih paperіv - tse ymovіrnіst nevikonannya emіtentom svoїh zobov'yazan s viplati osnovnoї sumi Borg abo vіdsotkіv. Credit rizik pritamanny bіlshіy chastinі tsіnnih paperіv scho obertayutsya on market analysis, Especially note, SSMSC emіtovanі Private kompanіyami that mіstsevimi authorities Vladi. Bezrizikovimi vvazhayutsya zobov'yazannya that tsіnnі Paper the Uryadov Kraina, Hoca in okremih vipadkah h takozh them pov'yazuєtsya deyaky, Hoca i mіnіmalny, rіven credit riziku.

W metoyu obmezhennya credit riziku tsіnnih paperіv management bank Got retelno proanalіzuvati fіnansovy camp emіtenta that otsіniti yogo kreditospromozhnіst. Krіm of neobhіdno vivchiti the Branch mill in yakіy zdіysnyuє gospodarsku dіyalnіst emіtent character obіgu she minds emіsії tsіnnih paperіv. Yakscho tsі pokazniki zadovolnyayut vimogam Bank schodo of Quality tsіnnih paperіv then їh vklyuchayut to the portfolio.

On mіzhnarodnih Rink for viznachennya of Quality tsіnnih paperіv that rіvnya riziku credit, scho s pov'yazuєtsya them vikoristovuyut ratings emіtenta tsіnnih paperіv, proponovanі rating kompanіyami. Vvazhaєtsya scho tsіnnі Paper the s i vische BBB rating scale for «Standard and Poors», abo Waa i vische scale of «Moody's» Credit toil nevisoky rizik i priynyatnі for bankіvskogo portfolio. Tsіnnі Paper the nizhchimi s ratings to speculative vіdnosyatsya i often nazivayutsya "smіttєvimi". In deyakih kraїnah іsnuyut regulyuyuchі rules yakimi banks not rekomenduєtsya pridbannya speculative tsіnnih paperіv.

Dіlovy rizik pov'yazuєtsya s nespriyatlivimi yavischami in ekonomіtsі such yak znizhennya obsyagіv virobnitstva, bankrutstva, bezrobіttya toscho. Bezperechno, krizovoe camp in ekonomіtsі not Mauger not poznachitisya on fіnansovomu stanі emіtentіv, scho in its Cherga generally produces up pіdvischennya credit that vіdsotkovogo riziku tsіnnih paperіv and takozh riziku їh lіkvіdnostі.

When viborі tsіnnih paperіv, SSMSC were used to vhoditi bankіvskogo portfolio management Got vrahovuvati rіven dіlovogo riziku for znizhennya yakogo zastosovuyut diversifіkatsії method. Galuzeva diversifіkatsіya, tobto pridbannya tsіnnih paperіv emіtentіv, SSMSC pratsyuyut in rіznih Galuzo Economy, dozvolyaє suttєvo zniziti dіlovy rizik not tіlki tsіnnih paperіv portfolio and th zagalny rizik bank. Obґruntovany vibіr tsіnnih paperіv dozvolyaє kompensuvati negativnі naslіdki ekonomіchnogo decline in the Branch odnіy pіdyomom in іnshіy, oskіlki navіt of minds znizhennya dіlovoї aktivnostі іsnuyut the Branch, kotrі rozvivayutsya stabіlno abo navіt zrostayut.

Geografіchna diversifіkatsіya polyagaє in pridbannі tsіnnih paperіv emіtentіv, SSMSC mіstyatsya in rіznih ekonomіchnih regіonah, abo for mezhami danoї Kraina. Geografіchna diversifіkatsіya dopomagaє mіnіmіzuvati dіlovy rizik and otzhe, zniziti zagalny rizik bank. geografіchnoї diversifіkatsії naykrasche method realіzuєtsya sama from protsesі formuvannya tsіnnih paperіv portfolio oskіlki not zavzhdi іsnuyut mozhlivostі yogo zastosuvannya for znizhennya riziku loan portfolio.

Otzhe have protsesі of acceptance rіshennya vіdnosno kupіvlі chi sale Pevnyi tsіnnih paperіv neobhіdno borrow up uwagi rіven dіlovogo riziku emіtenta that yogo vpliv on zagalny rizik bankіvskogo portfolio tsіnnih paperіv that bank in tsіlomu.

All types rizikіv, harakternі for tsіnnogo Paper the - vіdsotkovy, credit, dіlovy, іnflyatsіyny, dostrokovogo repayment that rizik lіkvіdnostі in sukupnostі formuyut zagalny rizik danogo іnstrumentu, yaky yogo s porіvnyuєtsya dohіdnіstyu. Management Got virіshiti power bank for about priynyatny rіven riziku tsіnnih paperіv i Sered vsієї sukupnostі fіnansovih іnstrumentіv, SSMSC zadovolnyayut tsі vimogi, turn naydohіdnіshі.

Rіven rizikovostі tsіnnogo Paper the digit mіroyu deposits od trivalostі perіodu obіgu. Korotkostrokovі tsіnnі Papero, yak usually viyavlyayutsya Mensch rizikovimi, oskіlki OAO All perelіchenі schoyno riziki protyagom short perіodu not realіzuyutsya Povny mіroyu. Dovgostrokovі tsіnnі Paper the Je bіlsh rizikovimi, Ale in one hour samy Bringer vischі income. Metodi formuvannya optimal s Look strokіv repayment portfolio tsіnnih paperіv rozglyanutі nizhche.