Автореферат (1138481), страница 3
Текст из файла (страница 3)
Kafina x pas6ueuuro Jrr.rKBnAOco6enuoe BHr4MaHr4exapaKTepvcruK(<cNarocm>>,uy6r4Ha, peJraKcaHocrr4Ha HecKoJmxo6oree MeJIKT{xpa3nr{r{Hbrecnoco6rr orleHKrrKaxAoro H3 TaKVXacneKToBJIHKrlr4q).PaccnaorpeHbrBr{AHocrr4,a raKxre ofpaHurreHr{r rro.qxoAarrpu [onyrreHura o6qefi Kaprr4Hbro JulKpbrHKa.BHAHOCTT.Tllocre ororo c$opuynr4poBaHbrrpe6onaurrfl, KoropbrM Aon)KeHorBer{arb parlr4oHanbHrrfrcnoco6 npuurrnf, pelxeHuit o pecrpyKTypu3ar\vt4nopr$enx, yrrr4rbrnopr$eJllo, TaK 14Mr4KpocrpyKearcrlHft psA MoMeHToB,ceoficrseHHblx KaKcaMorr,ryType pbrHKoB,Ha Koropbrx BeAercr roproBnq coorBercrByrorrluMr4aKT[BaMr4.B pe3ynbrare yrrera Bcex peneBaHrurrx SaxropoB yrlpaBnrlorqrafi nopr$enena AoJr)KeHcrparerrrro nrrKBrrAarluunopr$eJrfl, KoHeqnofi qenbroerrpa6orarb parlLroHulnbHyrot2Koropofi flBnflercfl MaKcHM€tIIbHaflnr,rKBr,rAarlhoHHaflcror4Mocrb rroproenqc yqeroMprrcKa.3arerranogpo6no paccMorpeHbrpa3nr4rrHbreBJrr4rHr4eSarroprr, oKa3brBarculr4eHa parlr4oHanbHyrocrparerl4ro Jrr4KBr44arJr4vr.lloxa:aso, rrro upra nro6ou cnoco6eocyilIecrBIIe:alaflpecrpyKTypLrca\wvnopr$enx orIeHKanr4KBr4Aarluousoficror,rMocrr4uopr$enx, rro3BoJltroqa-f, paz1urlt 6rox Ha orAenbHbre .uacrv Anfl KaxAofo [rara,qMOXeT oblTb I4CTIOJIb3OBaHaB KaqeCTBe oeHqMapKa Anf, OrIeHKr4 pe3ynbTaTr4BHOCTH'[pHMeHreMoro croco6a.
llpn ycnoBr{HfpaMorHofo rrocrpoeHV.fl) QH4)Karoulefo pr.rcKMaHrrrynupoBaHuqynpaBn-rrcql,IMnoprSeneM, .{aHHar rrpeABapuTeJrbHar(ex-ante)oIIeHKa MOXeT ObITb I{CIIOIb3OBAHa KaK Anfl OrIeHKr4 HaunyquefoUClOJrHeHprq, [pe-pa6oru Ar.rnepoB.llpu :rov orMer{eAocraBnteMoro 6porepauvt, TaK14Anfl,oIIeHKr,rHo, tITo KpaeyronbHblM KaMHeM nocrpoeHuq taxoir orIeHKI4 tBJrrercfl aAeKBarHatMoAenb rr3Mep eHr4fl pvreKa p brHorrHo it tuxnugHocrrz.Bo nropofirnane AeraJIbHo orlucaHbr pa3nuqHbre [o.{xoAbr K oqeHKe 14MoAe-prrcKa pblHorlHoit nnxnugHocrn B rlenqx ynpaBneHHxnopr$eJreM.
OconrrpoBaHl,IrcyAeneHo BorlpocaMorIeHKr{nr4KBr,rAarluosHofi6oe nHuruaHr4ecrorrMocrn ToproBoronopr$enr, Koropat Mo)Ker 6rtrr ucrloJrb3oBaHanoKa3areJrefrnoAnr onpeAeneHr,rqTeHrlr4albHbrxrrorepb c yqeroM Jrr4KBr4AHocrr{,HarrpuMepLVaR.lloxasarlo, qro craHAaprHafl oIIeHKa rloKa3arerefi rroreHrlt4€urbHbrxnorepbVaR ueloolleHplBaer pI4cKI4pblHorlHoil rureu4Hocrr4, TaK KaK oHa He rrpuHr4MaerBpacr{er ror Saxr, qro ILIKBLIAaIIHqocyqecrBJrferc{ BoBceHe rro cpe4Hefi MexAy rleHaMI4ctlpoca H npeAnolreHuf, IIeHe,a B rrepBou rpy6orranpu6nuxenvrvr- no cpe4nefiIIeHe 3a Bblr{eroM IIoJIoBI4HrI BeJII{r{HHbI6r,rA-acx cnpgAa ra SnyxryaqlLr6uA-acxcnp3Aa.B 6onee npoABl{Hyrou upz6rrzrlneHvrr4neo6xoAraMoerle BbrqecrbBenuqnHyBo3MoxHoro e$$erra BJII4tHHfl.Ha IIeHy c yr{eroM rny6uuu pbrHKaH Snyxrya\vvtruy6uurr.9 ^JAeCb 14Aanee (pe3ynbTaTr{BHocTb)) ilcnonb3yercqB KaqecrBe 3KBr,rBaJreHTaaHfJr. performanceBMeCTOOObrqHO[pr.rMeHqeMOrO B nr4TepaType TepMHHa <s(p$exrunHocrb)), xoropufi B 3aBucrrMo-cru or KoHTeKcraMoxer rrMerbpasruuuufi cMbrcJr.l3Taxula o6pa:ou, IIpH HopM€uIbHbIXpbrHorrHbrxycnoBrlrx BeJrr4rrr4Hapr4cKapbrHoquofi iII4KBI4AHocrr43aBvrcHTor pa3Mepa no3HIII4r4pI oKa3brBaeMoroerc BJrr4rHVflHaueHv.B pa6ore raK)KenpI4BeAeHaxnaccu$vrKar\vrflpr4cKoBpbrHor{Hofiruxnu4Hocrr4,rlpeAnoxel:aafl A.
Banrrnfl, @. !ue6on4ona, T. IllyepnaanoM r4 !x.Crpyrxafiepovl0.Onu paccMarpllBaror pa3nllrluq Mex.qy eK3ozeHHbtJwpucKonr nurceuduocmu,HaxoArIrIHMcf,BHe BJII4flHHqMapKer-ltefixepa Hnv rpefi4epa, u eudoeeHHbmtpucKoM JtuKeuduocmu, roroprrfi HaxoAt4Tcre c$epe geitcrnux rpefi4epa kr flBrrflercq,KaKnpaBr4no, peaKlluefi puura, Heclloco6Horo ([epeBapr4Tb))Heo)KrrAaHHoBo3Hr4KrrrHeKpynHbIe IIO3lIUrrr4.B coorsercrBnll c Aanuofi rnaccuQuxaquefi .qanee[pr4BeAeHbrrroAxoAbr,rro3Bonqrcql4epa3nI4r{HbIMHcnoco6altn yqecTb 1ug-acrccrrpgA H tr3AepxKT Brrr4flHryHa IIeHy. llpone4eH cpaBHurelrurrfi aHaJrkr3TaKr4xrroAXoAoB,a raK)KeyKa3aHbrHXorpaHHr{eHr4flvr rpeoonareJlbHocrb K AaHHbIM,Koropbre ueo6xo4zMbr Anr rrpoBeAeHr4fl Ha I4X OCHOBepaCr{eTOB.B rperuefi rrase [peAcraBJreHHHxeHepnrrfi cuoco6 olpeAeneHr4flnvKB:a1LatlHoHuofi cronMocru nopr$eJls c ucloJrb3oBaHrzenruH$opMarJvruo xoAe roproBnr4Ha opf aHH3oBaHHoMpbrHKenvl.Ilr tr4poBaHHbrx3aqBoK.B nepnyro oqepeAb6urH paccMorpeHrro6que BonpocbronpeAeJreHr{rparlraonalruofi crparerlzl4 nrIKBHAaIIzunopr$erq: nrr6op MoAenu prrcKa pbrHor{HofilzrBHAHOcTI,Ira nrr6op IIeHoBoro 6en.rrraapraAnfl orIeHKr4TpaHcaKrllroHHbrxH3AepxeK.flora:ano, qro nrr6op MoAenrI prlcKa pbrHorrHoittuxnugHocrr4 3aBncvr or AocryrrHocrl4 AaHHIIX I{ or orHocnTeruHoft nrrKBnAHocrrraKTr4Ba,onpeAelseuofi o6rqefintIKBHAHocrbroaKTI4Ba14Tntru,tHrtlao6reuoM rro3urluu.
ilanee o6ocHoeauaneo6xoAI4Mocrb I,IcnoJlb3oBaHvrfl.4eQraqura ucrroJrHennfllleponr4a B KaqecrBe rreHoBorooeHqMapKa rlpu oIIeHKe HetBHbIX TpaHcaKrILroHHbrxr43AepX(eK,TaK KaK OH frO3BOJrreTaAeKBaTHOyqecTb rr3Aep)KKI4BIII/.flHIlfl Ha rleHy rrprr r4CnOJrHeHHr43asBoK KpynHofot0Bangia A., Diebold F., Schuermann7., StroughairJ. Modeling liquidity risk, with implicationsfor traditional market risk measurementand managementll Working Paper, University of Pennsylvania,The WartonSchool.- 1998.- l6 p.t4o6rerraau us6exarb MaHr,r[ynr{poBaHr{rco cropoHbr ynpaBnrroulero nopr$enena.I4lcxo4sr433Trrx coo6paxesuir u qenr4rrccneAoBaHns,6rrnonpnHrro perxeHr4epa3pa6orarr co6crneusrrfi cuoco6, onuparorqlrfic-f,Ha MeroAoJroruroP. AmurpeHa u H.r.llKpr4ccafrxpeure:nr4flnocraBneuuofi B paMKax Haarorqefi pa6orrr 3a4a-e:aparlr4o-nopr$eJlfl B rlepBylo oqepeAb6rrno [por43BeAeHoBoccraHoBnamHofi nr4KBrrAarlulr3aqBoK.
3areu Ha ee ocHoBe 6rrra [ocrpoeHa r4HTeJreHHeKHHrrr nr4Mr4Tr4poBaHHbIXrpanbHaqxapaKTepr4crlrKa,o6o6rqaroqafl acneKTbr((cx{arocrr4))ra uy6rzubr pbrHKa,r43AepxeK@,, xoropaq r4MeercneAy}ouuir nug$yHrqHa rpaHcaKrlr{oHHbrx^ / r $@,\no)=L(P, - P)ni(l)j-lr[e n1,- ypoBeHb o6rerraa, pi - I]eHa LIcIIoJIHeHus i-oit gaflBKpLni - o6rew i-oit zannxu,t)p - pbrHoqHaflueHa aKTHBa'-.TaxHrrao6pasou, [ocrpoeHnaa SyuxIII4t rpaHcaKrlrroHHbrxlr3AepxeK orpaxaeT rrpeMr4lo 3a IHKBI4AHOCTb,KOTOpyIOI,IHBeCTOpnJraTr,rTrrpH COBeprUeHUr4CAenKrzrrpurrroKynKe(npo4axe) axruna o6leuona /11,vHBeo6reua np. [pyruMr4 cJroBaMLr,crop rnarur (nonyuaer) coorBercrBeHHoreoperurrecKyro (ra: 4onyuleHr4qo coBeprrIeHHoMprrnr<e)crol,IMocrr H n.qo6anor (:a nrrverou) 3HaqeHue(r) $yurqlzrz rpaHr43AepxeKArtr coorBercrByroqero o6'seva n1r.caKrlrroHHbrxllpraHqranl4€LlrbHoeornl,Ique Hacrosulero cnoco6a onpeAerreHnfln[KBr4AarIr4oHuofi croHMocrn nopr$enr or rlpeAnoxeHHoroP.
Anrl,rrpeHoM u H. KpuccoM B ToM,rrTo obulo [pI4HtTo perueHHeoTKa3aTbcfloT ynpoqarorlefo npeArroroxeHr4qo Jutsefinocrr.r rr3Aep)KeKB rronb3y 3Mlupr4rrecKorooueHr4BaHr4qHerBHbrxrpaHcaKrIHoHHbrxr43AepxeK'"." AlmgrenR., Chriss1/. Optimalexecutionof porlfoliotransactions// Journalof Risk.- 2000.*V o l .3 , n o . 2 .- P p .5 -3 9 .''fIoA prtnovuofi {euofi 3Aecb h Aanee IloHvMaerct cpeAHee apuSueruvecKoe r43nyr{urr4x rreHcflpoca r4flpeAnoxeHrrg Ha MoMeHTilpuHfl'rwfl,perxeHr,rro TopfoBne.'tCtort orMerr{Tb, qro HeJIIrHefiHrIfixapaKTep $yur<qur,r @, :nauureJrbHo ysJro}(Hrer peueHrrenopr$enx, TaK KaK aHaJlr,ITr4r{ecKoepemeHr4errpu 3ToM ororrrr.rMr{3auraonuofi3a4arru nrrKBr,rAaur,rurrr4cJreHHbrxBo3HuKaerHeo6xoALrlrocrbB npprMeHeHrrr4cyrcrByer rr, KaKcJreAcrBl4e,Mero,qoB.t5[nrygo6crea o6reMbr Ha noKyrrKy cr{r4Tarorcr(noJro)r(r4TeJrbHbrMV\r,d o6re-llora3aHo, r{To no [ocrpoeHuro @, - cnyMbr Ha npoAaxy - (orpr4rlareJrbHbrMu>>.,aairkras,Bo3pacrarcrqaqBbrnyKraq Synxqur, noJrHocrbroxapaKTeHeorpr4rlarenbHa.spu3yroqaq ((cxarocrb)) 14uy6uuy pbIHKa.Kporvreroro, Anr perueHu-qBo3HlrKr.ruxHa npaKTraxeupo6reu'* 6ruo peueHoMoAenbc AByMf,napaMerpaMr4c uenbro arrpoKcuMauo4o6parb rroJrrrHoMr4€LrrbHyK)qHa Qynr<rJWTpaHcaKrlr4oHHbrxH3Aepxer.
,{nx srl4x qenefi 6rrr nponeAeH aHarr43Ha ocHoBaHH}IKoroporo 6uro ycraHoBJreHo,ceoficre ee AT4HaMI4KI{,3Mlr4pr4r{ecKl4xr,r3Aepxerc0(t,v) 4onycxaer MarronapaMerpr4qecKyrovro $yHrrlnfl TpaHcaKrlrroHHbrxcneAyloqef o BHAa:a[rrpoKcr4Marlr4ro(2)0(t,v): a(t)v3+b(t)v2llocleorleHKracnyuailnofi nerrauefinofi Synrqzur43AepxeK Ha peanbHbrxAaHHbrx6rua ilonyrreHa Bo3Mox{HocrrcQopMynr4poBarb3aAar{yparlnoHaJnuofi luKBla;a\vu nopr$enr't.
nyct"r4MeercqHeKoropbrfiaxrun o6reuonr V u sa ero irr{K-Br4AarlruorzHBecropyorBeAeHoBpeMr l/ (ronuuecrBo MoMeHToBBpeMeHLr,3a Koroprre neo6xoAr'rMo3aKpbrrbnce no:HqHu).By4eru A€LneeHa3brBarbcrparerr{efi ruxsu.qarJukrnocneAoBareJrbHocrlo6regf - .l vrr.roe{vrl,=,, rAe Lr, = V , ttpu 3ToM vrorrpeAen.f,rcTcfno ua6lroAaelrofi rau$oprraaqr.naHeyrpexAu.t"r'o6pasou.flpe4nonoxr4M, rrro B cnyqae npoBeAeHr4qoneparyuit ua pbrHKerrHBecrop HeHa pbrHoK,T.e.
[poqecc $opurrpoBaHr4r rleHbrHe 3aoK€r3brBaer3aMerHoeBJrr{f,HrreBncvrr or nrr6pausofi rzu nI{KBHAaIIuosuoficrparerrru. llycrrrleHa aKrr{Ba B Mo-MeHTBpeMeHr4t sr'rsercr_ cttyuaitHofi seruuuuofi , coorBercrnyroulefi apra$naerra.re:cKoMy6poyuoncKoMyABH)KeHrzrox,:xn+t.v,L/Lx,,t:LV(3)i=1toPeu" rrAero rroreperlHtfopnraqvvilpprpaorrerearpefupoBaHHlrxBeJrlrqrrHIr rexHlrqecKr4xrpyArrpr4o6pa6orxe6omurHxcrpyxryp raHHbrx.Hocrrx, Bo3nr.rKaroxlr4xt''5 . .o6rqnocru,Aanee6yaer paccMorpena3a4auao ilpoAaxe aKTr4Ba.He orpaHrq:aBas.T6u oAuHaKoBo pac[peAeJreHHbrecnyqafiHbre BeJrr,rqr.rHbr.rAe Lxi - He3aBr4cr4MbreM, w @, cyrqecrByror KoHerrHbreBTopbreMoMeHflpe4uonolruM, r{To Anr BeJrr4r{rrHcror4MocrbaKTHBaB cneAy]oqeM Br.rAe:rrr.
![](https://s.studizba.com/z.php?f=/templates/si/i/noavatar.png&w=100&h=100&t=1"){kind=avatar}
