• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Nadezhda Bulovich
Comparable Analysis Using CFaR Methodology for the Efficiency of Industries
Finance
(Master’s programme)
2018
The purpose of this master's work is a comparative analysis of the operating cash flows of the main sectors of the Russian economy.

A number of tasks were set and solved to achieve the goal:

1. The first Chapter of the study is devoted to an excursion into the nature of risk and the construction of its classification.

2. The second Chapter describes in detail the model of cash flows. Evaluation is performed by regression analysis.

3. The third describes an evaluation of efficiency of various industries. It was created a lot of scenarios using Monte Carlo method. Evaluating cash flow at risk (CFaR) and expected shortfall (ES). I was compared the indicators in the context of areas.

The scientific and practical significance of the work is due to the need to systematize and supplement existing methods of risk assessment and management, to build integrated risk systems for a particular Russian enterprise or industry. A comparative analysis of the effectiveness of industries has not been carried out before.

The final conclusions will allow corporate managers to have an industry benchmark in planning activities. Moreover, the results of the analysis presented in this paper may be one of the quantitative factors in assessing the reasonableness of mergers and acquisitions. Such analysis can be useful for the regulator and banks in the construction of relevant industry strategies. Private investors can also use it when choosing an industry to invest in.

Keywords: risk assessment of non-financial companies, CFaR, ES, regression analysis, simulation, Monte Carlo

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses