Risk-Assessment Model In Lukoil

Аннотация

The article presents empirical study results of Lukoil company risk-assessment model development. The study is based on a cash flow at risk method (CFaR). The assessment of Lukoil company risks is made on the end of 2013. The research method includes assessment of market, credit and operational risks. The obtained results demonstrate that oil prices don't affect the company's CFaR too much but the most severe market risk is the one connected with gasoline prices. To reduce CFaR some hedging procedures may be applied, especially for market risks: for example, options and futures can be used to hedge against changes in oil and gasoline prices fluctuations.