Risk assessment in financial markets


Financial, as well as any risk is mathematically expressed by the probability of a loss, which is based on statistical data and can be calculated with high accuracy. To quantify the financial risk, it is necessary to know all the possible consequences of a particular action and the likelihood themselves consequences. Likely means that you can get a certain result.

Definition of financial risk is the formation of the challenges of making financial decisions and study the situation connected with it, and is:

• identifying the causes and factors that increase or decrease a specific type of financial risk;

• analysis and identification of the identified causes and factors;

• allocation of stages and operations where there may be conditions of financial risk.

The statistical analysis of the value (or level) of risk is measured by two criteria: the average expected value (dispersion) and fluctuations, volatility (variation possible result). It measures the dispersion of a possible average. Variation indicates the degree of deviation of the actual average. The variance in the evaluation of financial risk the company is the weighted average of the squared deviations of the actual financial results of risky investments expected from the average:

where a2 - variance and x-expected value for each case of investment funds, and x - mean expected value, and n is the number of investment funds (frequency).

The average value is a generalized quantitative characterization and does not allow a decision in favor of any option investment. For the final decision must be measured volatility indicators, ie determine the extent of variation possible result. Variability possible rezultattu - is the deviation of the expected value of the average

magnitude. To do this, calculate the standard deviation from the formula:


The standard deviation is a named value and is specified in the same units, which is measured by the variation feature. Variance and standard deviation are measures of absolute shifts. Used for the analysis of the coefficient of variation. It is the ratio of the standard deviation to the arithmetic mean and shows the degree of deviation values ​​obtained. The coefficient of variation - a relative value, it reflects the variability. So its value does not affect the absolute values ​​of the studied. With the coefficient of variation is even possible to compare variability of, expressed in different units.

The coefficient of variation is given by:


where V - coefficient of variation, and - standard deviation, and x is the mean expected value.

The coefficient of variation can range from 1 to 100%. The higher the ratio, the stronger the vibration. The set is a qualitative assessment of the values ​​of the coefficient of variation: 10% - weak fluctuations of the financial risk of investment, 10 - 25% - medium, moderate fluctuations, over 25% - high fluctuations of financial risk.

When using dispersion and variations into account, the financial risk is mathematically certain probability of financial results. This probability can be determined by an expert or by mathematical calculation frequency degree of financial risk. Calculation of the probability of financial risk on the basis of the variance, variation and averages as statistical analysis methods to modern conditions is the primary method of assessing the financial risks of the enterprise.

Apply other analytical methods for assessing financial risk. Promising of them - a factor analysis of financial risks.

Lately the method of expert estimates. Drawn comparisons of different levels of risk ratings are determined, prepare analytical peer reviews.

One method to evaluate financial risk is the economic and mathematical modeling. The key to this - the correct choice of the model based on the specific situation.

Very promising is a computer simulation of the financial risk of the enterprise. In modern conditions created a specific set of ready-made software products with his assessment.

Very promising method of socio-economic experiment that provides for separate experiments on typical financial situation.

In practice, the assessment of financial risk is widely used method of analogy. Specialists, financial managers on the basis of various publications or practical dawn other companies estimate the probability of occurrence of events, receive specific financial results, the degree of financial risk.

In banking on a normative level of functioning fixed risk management systems in banks of Ukraine through the development and adoption of methodological recommendations on the organization and functioning of the risk management systems in Ukrainian banks by the National Bank of Ukraine (Decree of the National Bank of Ukraine On the approval of the Methodological recommendations on the organization and functioning risk management systems in banks of Ukraine № 361 from 02.08.2004). The use of this technique is to limit the level of acceptable financial risks to domestic banking institutions, and thus for the entire banking system.

Risk assessment - a kind of art based on a combination of scientific techniques and intuition of experts and analysts. It is based on the simultaneous registration and combination of many conflicting factors, the use of different theoretical precedent practice.