Применение деривативов для хеджирования валютных рисков в России: обзор научных исследований
Аннотация
В настоящем обзоре проводится анализ российских научных публикаций с начала 2000-х гг. до настоящего времени, посвященных деривативам и их применению российскими нефинансовыми организациями для хеджирования валютных рисков. За указанное время исследования значительно продвинулись от обсуждения общих вопросов, таких как концепция валютного риска, виды производных финансовых инструментов и основы хеджирования, до оригинальных работ, изучающих воздействие хеджирования на стоимость компании или стоимость собственного капитала при помощи общепризнанных количественных методов, например оценки вероятных потерь VaR. Результаты свидетельствуют о том, что практики хеджирования различаются в зависимости от отрасли и размера компании; финансовые кризисы 2008 и 2014 гг., сопровождавшиеся ростом волатильности иностранной валюты, оказали двоякое влияние на эти практики: некоторые компании начали применять хеджирование в более широких объемах, в то время как другие отказались от него совсем. По общему мнению, масштабы применения деривативов с целью хеджирования валютных рисков, в частности транзакционных, в России значительно ниже, чем на развитых рынках, из-за незрелости рынка, проблем регулирования и бухгалтерского учета, низкого спроса на инструменты хеджирования по причине недостаточного развития функции казначейства организаций, высокой стоимости хеджирования и т.д. Вместо деривативов компании применяют естественное хеджирование, пользуются нефинансовыми методами либо принимают валютный риск. Тем не менее большинство авторов сходятся во мнении, что для управления валютными рисками компании должны разработать комплексную стратегию. Однако переориентация коммерческих потоков из-за нынешнего политического и экономического положения требует разработки новых валютных деривативов и рынка для них. В целом можно заключить, что количество исследований российской практики применения деривативов с целью хеджирования валютных рисков относительно невелико по сравнению с числом зарубежных работ. Ограниченный доступ к данным сужает фактическую базу исследований до информации, раскрываемой публичными компаниями, и демонстрационных примеров и не позволяют
учитывать практику средних и частных предприятий.
Скачивания
Литература
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