title: Application of Downside Risk Measures for Managerial Decisions: Improvement of Organization's Financial Effectiveness
metadata.name: dc.contributor.author
metadata.value: Krivdin, Viacheslav A.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Кривдин, В. А.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2014-04-11T13:08:26Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2014-04-11T13:08:26Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2013
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/1193
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: Risk has become of interest to companies as they tried to achieve their goals to minimize possible losses and speculate on possible gains. This will to achieve such goals has laid demand for formulating risk management policies with corresponding risk measures appropriate for every situation a company is interested in. The primary and ultimate goal of company’s management is to maximize shareholder’s value. One of the possible estimators is the cost of equity which defines the return that company pays to its shareholders. Empirical evidence is provided based on Russian and US markets, as well as 18 industries in US market and 10 industries in Russian markets. In the thesis a comprehensive empirical study on risk measures performance is presented. It is shown that downside risk measures do no always show better explanatory power on particular markets and industry. However, taken into account the characteristics of the distribution their usage is still appropriate and relates to the needs of both portfolio and corporate manager.
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: English
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: Graduate School of Management, Saint Petersburg University, Master in Corporate Finance
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: risk
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: downside risk
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: CAPM
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: downside beta
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: semideviation
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: lower partial moments
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: downside correlation
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: risk measures
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: cost of equity
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: риск
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: риск снижения доходности
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: модель CAPM
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: даунсайд бета
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: полуотклонение
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: нижние моменты случайной величины
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: корреляция снижения
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: меры риска
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: стоимость капитала
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Application of Downside Risk Measures for Managerial Decisions: Improvement of Organization's Financial Effectiveness
metadata.lang: en_GB
metadata.name: dc.title.alternative
metadata.value: Применение мер риска снижения доходности при принятии управленческих решений: повышение финансовой результативности компании
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Thesis
metadata.lang: en_GB
metadata.name: dc.description.altabstract
metadata.value: Промежуточной целью является проверка статистических характеристик мер риска в различных условиях: для различных рынков и отраслей. Конечной целью является анализ адекватности оценок стоимости капиатал, полученных в реузльтате использования альтернативной модели оценки активов CAPM. Предоставлено подтверждение различных статистических показателей для российского и американсокого рыкнов и отраслей. Предъявлено объяснение адекватности применения тех или иных мер риска для вычисления стоимости капитала.
metadata.lang: en_GB
resources.filename: Krivdin_Advisor's Reference.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/1193/1/Krivdin_Advisor%27s%20Reference.pdf
resources.format: Adobe PDF
resources.size: 108 kB
resources.filename: Krivdin_Referee's Review.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/1193/2/Krivdin_Referee%27s%20Review.pdf
resources.format: Adobe PDF
resources.size: 57,16 kB
resources.filename: Application of downside risk measures for managerial decisions_ improvement of organization's financial effectiveness [master's thesis MCF] – ВШМ СПбГУ – Vivaldi.html
resources.url: https://dspace.spbu.ru/bitstream/11701/1193/6/Application%20of%20downside%20risk%20measures%20for%20managerial%20decisions_%20improvement%20of%20organization%27s%20financial%20effectiveness%20%5bmaster%27s%20thesis%20MCF%5d%20%e2%80%93%20%d0%92%d0%a8%d0%9c%20%d0%a1%d0%9f%d0%b1%d0%93%d0%a3%20%e2%80%93%20Vivaldi.html
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