基于逻辑回归和公司计量学方法论的财务风险指标体系的发展

Mikhail Sergeevich Gordienko, V. Popkov
{"title":"基于逻辑回归和公司计量学方法论的财务风险指标体系的发展","authors":"Mikhail Sergeevich Gordienko, V. Popkov","doi":"10.25136/2409-7802.2022.1.36057","DOIUrl":null,"url":null,"abstract":"\n Business entities in their practical activities are constantly faced with the presence of various risks, manifested in the negative impact on them of factors of both internal and external environment. The most important for any financial manager are financial risks (market, credit, fiscal, currency, etc.), the management skills of which in a crisis period reveals genuine professionals in their field. To simplify the management process, algorithms or models are being developed that allow increasing the efficiency and speed of the management decision-making process. The subject of this study is the development of a methodology for assessing and forecasting financial risks. The purpose of the development is to simplify the process of selecting mechanisms for influencing risk, which allows maintaining the stability of cash flows over time and achieving the target financial indicators of an economic entity. The research methodology is based on the use of a combination of logistic regression tools and the CorporateMetrics methodology. These systems of financial risk indicators are highly sensitive to changing market conditions due to unfixed thresholds determined by the average values of the indicators used by the industry. The novelty of the study lies in the fact that the joint use of various indicators and indicators allows to comprehensively assess the exposure of an organization to each type of financial risk and monitor changes in the values of risk indicators. The scope of application of the results is presented on the example of the evaluation of open data on the economic activity of MTS PJSC for the period 2016-2018, the mechanism of using the methodology is shown. It is worth noting that the ability to adapt the indicators and indicators used in the methodology allows it to be applied to any economic entity of the non-financial sector of the economy. \n","PeriodicalId":233653,"journal":{"name":"Финансы и управление","volume":"72 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Development of a system of financial risk indicators based on logistic regression and the CorporateMetrics methodology\",\"authors\":\"Mikhail Sergeevich Gordienko, V. Popkov\",\"doi\":\"10.25136/2409-7802.2022.1.36057\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\\n Business entities in their practical activities are constantly faced with the presence of various risks, manifested in the negative impact on them of factors of both internal and external environment. The most important for any financial manager are financial risks (market, credit, fiscal, currency, etc.), the management skills of which in a crisis period reveals genuine professionals in their field. To simplify the management process, algorithms or models are being developed that allow increasing the efficiency and speed of the management decision-making process. The subject of this study is the development of a methodology for assessing and forecasting financial risks. The purpose of the development is to simplify the process of selecting mechanisms for influencing risk, which allows maintaining the stability of cash flows over time and achieving the target financial indicators of an economic entity. The research methodology is based on the use of a combination of logistic regression tools and the CorporateMetrics methodology. These systems of financial risk indicators are highly sensitive to changing market conditions due to unfixed thresholds determined by the average values of the indicators used by the industry. The novelty of the study lies in the fact that the joint use of various indicators and indicators allows to comprehensively assess the exposure of an organization to each type of financial risk and monitor changes in the values of risk indicators. The scope of application of the results is presented on the example of the evaluation of open data on the economic activity of MTS PJSC for the period 2016-2018, the mechanism of using the methodology is shown. It is worth noting that the ability to adapt the indicators and indicators used in the methodology allows it to be applied to any economic entity of the non-financial sector of the economy. \\n\",\"PeriodicalId\":233653,\"journal\":{\"name\":\"Финансы и управление\",\"volume\":\"72 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Финансы и управление\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.25136/2409-7802.2022.1.36057\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Финансы и управление","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.25136/2409-7802.2022.1.36057","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

摘要

企业在实际活动中不断面临各种风险的存在,表现为内外部环境因素对企业的负面影响。对于任何财务经理来说,最重要的是金融风险(市场、信贷、财政、货币等),在危机时期的管理技能显示出他们在该领域的真正专业人士。为了简化管理过程,正在开发算法或模型,以提高管理决策过程的效率和速度。本研究的主题是发展一种评估和预测金融风险的方法。这一发展的目的是简化选择影响风险的机制的过程,从而能够长期保持现金流量的稳定,并实现一个经济实体的目标财务指标。研究方法是基于使用逻辑回归工具和公司计量学方法的组合。这些金融风险指标体系对不断变化的市场条件非常敏感,因为它们的阈值是由行业使用的指标的平均值确定的。本研究的新颖之处在于,综合使用各种指标和指标,可以全面评估组织对各类财务风险的暴露程度,并监测风险指标值的变化。以2016-2018年MTS PJSC经济活动公开数据评价为例,介绍了结果的适用范围,并展示了该方法的使用机制。值得注意的是,调整方法中使用的指标和指标的能力使其能够适用于经济中非金融部门的任何经济实体。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Development of a system of financial risk indicators based on logistic regression and the CorporateMetrics methodology
Business entities in their practical activities are constantly faced with the presence of various risks, manifested in the negative impact on them of factors of both internal and external environment. The most important for any financial manager are financial risks (market, credit, fiscal, currency, etc.), the management skills of which in a crisis period reveals genuine professionals in their field. To simplify the management process, algorithms or models are being developed that allow increasing the efficiency and speed of the management decision-making process. The subject of this study is the development of a methodology for assessing and forecasting financial risks. The purpose of the development is to simplify the process of selecting mechanisms for influencing risk, which allows maintaining the stability of cash flows over time and achieving the target financial indicators of an economic entity. The research methodology is based on the use of a combination of logistic regression tools and the CorporateMetrics methodology. These systems of financial risk indicators are highly sensitive to changing market conditions due to unfixed thresholds determined by the average values of the indicators used by the industry. The novelty of the study lies in the fact that the joint use of various indicators and indicators allows to comprehensively assess the exposure of an organization to each type of financial risk and monitor changes in the values of risk indicators. The scope of application of the results is presented on the example of the evaluation of open data on the economic activity of MTS PJSC for the period 2016-2018, the mechanism of using the methodology is shown. It is worth noting that the ability to adapt the indicators and indicators used in the methodology allows it to be applied to any economic entity of the non-financial sector of the economy.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信