О подходе к оценке риск-аппетита и ранжированию рисков на основании внутреннего кредитного рейтинга организации

The motivation for this research was the desire to disclose the social nature of the financial risks of global companies: the authors attempted a scientific explanation of the influence of corporate social responsibility, which is manifested through the preservation and creation of additional jobs, on the financial risks of global companies. The research aims to establish the interdependence between financial risks and sustainable employment in global companies. This goal is achieved using the SEM (structural equation modeling) method based on corporate statistics from the Fortune “Global 500” rankings for 2021–2023. As a result, the consequences of global companies’ CSR (corporate social responsibility) practices in personnel management and financial risk management are modeled and described through quantitative and qualitative patterns. The established regularities proved that for developed and developing countries, the larger the number of employees, the lower the financial risks of global companies—the risk of a decrease in profitability, the risk of loss of profit, and the risk of depreciation of assets. The main conclusion is that there is a close systemic relationship between the financial risks of global companies and their workforce size, suggesting that CSR is key to highly effective financial risk management. A clear distinction between the practices of financial risk management through CSR in developed and developing countries forms the basis of the theoretical significance of the research results. The authors provide recommendations to improve the current practice of financial risk management in global companies by integrating it more closely with personnel management practices, highlighting their managerial relevance. It is proposed that corporate strategies for global companies in developed countries should focus on reducing the risk of declining profitability, as CSR has the most pronounced and consistent impact on this particular financial risk. In developing countries, corporate strategies are recommended to be structured by diversifying the areas of CSR application, with the most promising in financial risk management being the reduction in asset depreciation risk and the reduction in profitability risk. The findings of this research have practical significance because they enhance the predictability of CSR activities of global companies and open up opportunities for highly accurate forecasting of the financial risk implications of ensuring sustainable employment by global companies, considering the specificities of developed and developing countries.

Purpose: The purpose of this study was to investigate how financial risk management strategies lead to growth of MFI sector in Kenya.Methodology: The study adopted a correlation survey research design. The population of this study was fifty seven (57) MFIs. The sampling frame was the list of MFIs provided in the AMFI website www.amfikenya.com. A sample of thirteen (17) MFIs was selected using the random sampling approach. A questionnaire and an interview schedule were the main data collection tools. Qualitative data was analyzed using content analysis whereas the quantitative data was analysed using Statistical Package for Social Sciences (SPSS) where descriptive and regression analysis were conducted to determine the relationship between enterprise risk management strategies and growth of MFIs.Findings: The findings indicated that MFIs had effective financial risk management strategies such as effective credit risk management practices, liquidity risk management practices, interest risk management practices and price risk management practices. In particular, MFIs took into consideration the conditions, characters, capacity, collateral and capital of borrowers. Strict debt collection practices were widely adopted by MFIs. In addition, the concept of Know Your Customer (KYC) policy, seem to have been adopted by MFIs. The relationship between financial risk management strategies and growth was positive and significant. It also shown that sources of funds for MFIs include external sources and internal sources and the most frequently used source of funds are bank loans. The use of banks loans may present various risk exposures to MFIs, the most significant being interest rate risk. However, the ability of MFIs to source funds from various sources indicates that MFIs can apply the pecking order by first exploiting internal sources of funds since they present a lower financial risks and then move on to external sources. However, despite the financial risk exposure accompanied by leverage from external sources, MFIs may also benefit as they may experience higher growth driven by the leverage. It was also found that MFIs had put in place a number of good practices that had emerged to promote responsible and inclusive lending. These include loan size limits, standardized (simple) loan terms, zero tolerance on delinquency, group-based lending. This finding implies that MFIs have put in place effective credit risk management policies which are part of an overall financial risk management strategy. The existence of effective financial risk management practices may have influenced the growth of MFIsUnique contribution to theory, practice and policy: The study recommends that the MFIs to continue practicing effective financial management practices as this would improve the growth of MFIs.

This article considers financial risk management practice using a virtue ethics lens, in response to ongoing critiques of risk management from within business ethics. Risk management should be seen as embedded within a complex system of cultures, organizations and regulations that are underpinned by a quantitatively reductive or ‘mechanistic’ economic paradigm, where dominant logics of self-interest, profit maximization and short-termism prevail. Building on recent work applying virtue ethics in finance, an alternative to the values, normative expectations and priorities in financial risk management is presented in the form of a refined ‘taxonomy’ of the virtues that can be applied to individuals and organizations engaged in financial risk management. This article aims to contribute to and extend debate on the ethical aspects of risk management and presents an alternative to more technically based critiques which do not engage with the underlying socially constructed foundations of risk management practice. It thereby provides a basis to critique the mechanistic and narrow approach used in the current regulation of the sector.

Microfinance institutions (MFIs) have evolved in different and complex ways to solve various market frictions, with some of them providing a wide range of financial products and using different lending technologies to reach poor and underserved populations. As a result, some MFIs are more efficient than others, but are efficiency gains aligned with risk management practices? The specific characteristics of the microfinance industry make the answer to this question less obvious than that of commercial banks. This paper tries to shed light on these issues by analysing the efficiency and risk management of MFIs and describing the potential implications of these relationships for the microfinance industry. After considering several measures of financial risk management ratios commonly used in the microfinance literature, our results show that cost efficiency improves asset quality and solvency of MFIs, but also reduces the need for holding idle cash or liquid assets. The results of this paper can help academics, policymakers, and regulators to better understand the impact of cost efficiency on financial risks management practices in the microfinance industry.

Urgency of the research. Adoption of any managerial decision within the company happens in the presence of risks. Against this background, it is vital to determine whether the risk is acceptable is in the process of achieving the objectives. Target setting. From this perspective, it becomes increasingly relevant to develop proposals aimed at helping the companies to form and present risk management process and place of risk appetite in it. Actual scientific researches and issues analysis. Among scientists engaged in research of risk and risk management were F. Knight (2003), T. Coleman and B. Litterman (2012), D. Kahneman (2014), I. Blank (2005), V. Vitlinsky, P. Verchenko, A. Sigal, Ya. Nakonechny (2002), A. Carol (2008), T. DeMarco and T. Lister (2005). Risk appetite was closely studied by D. Tattam (2015), B. Hassani (2015), L. Rittenberg and F. Martens (2012). Uninvestigated parts of general matters defining. It becomes increasingly relevant to identify differences in clarification of the essence of capacity risk, risk appetite, and risk tolerance, as well as develop recommendations on how to determine them within the company’s risk management system. The research objective. Identifying the essence, relevance and place of risk capacity, risk appetite and risk tolerance formation according to specific stages of the company’s risk management process. The statement of basic materials. Risk appetite reflects the level of losses which the company is willing to accept in order achieve its strategic objectives. In contrast, risk tolerance is associated with acceptance of the outcome of specific identified risk events and is defined as readiness for certain risk event. The article also aims to examine the company’s risk management process, in the context of which the place of risk appetite determination, as well as procedure for adoption of decisions on risk appetite and risk tolerance determination are outlined. Conclusions. Breaching the risk tolerance threshold should serve as a red alert for the management. In such a case the risk position has to be reduced.

This paper analyses the methods and frameworks used by firms in emerging markets when adapting their risk management strategies across the different dimensions of the strategic, financial, institutional, and operational scopes. In addition to the existing literature surrounding enterprise risk management and the emerging economies (Boubaker et al. 2016), this particular study looked to understand the response of firms to increased levels of uncertainty attributed to macroeconomic turbulence, coupled with the regulatory and or institutional voids. With the use of a constructive integrative approach in the comparative and institutional literature, this paper attempts to consolidate analyses surrounding the firm-level adaptations to fragmented markets and governance policy constraints, coupled with an unpredictable policy environment. Empirical evidence suggests that risk management frameworks that are based (modified or otherwise) on global standards issued by the international regulatory bodies are rarely used by the firms in emerging economies. Rather, such firms tend to contextualize their systems by adjusting their frameworks to align with the institutional setting of the emerging economies within which they operate. In particular, firms tend to incorporate informal governance, relational contracting, and political risk-attribute frameworks into their strategic decision-making processes to counter regulatory and enforcement gaps (Henisz and Zelner 2015; Khanna and Palepu 1997). In response to the currency instability, gaps in capital market accessibility, and limited credit, the financial risk management practices and operational risk mitigate flexibility, redundancy, and supply chain risks, and the control mechanisms straddle. This type of operational adaptation signals a responsiveness to the management of risk in environments of continuous uncertainty and fundamental transformation. Integrated and context-sensitive risk management practices in emerging markets consistently outperform the application of standardized global models, which serves as the basis of the postulate of the undertaken research. Furthermore, the research illustrates that the alignment of risk management and local institutional order conditions proves the greatest resilient and high-performing divergence when compared to the application of systemic, contextually blind models (Hoskisson et al. 2000; McNeil et al. 2015). This conclusion elevates the importance of institutional knowledge as a distinctly relevant factor within enterprise risk management.

This is the third in a series of surveys on financial risk management practice and derivatives use by non-financial corporations in the United States undertaken by the Wharton School. This 1998 survey, written in partnership again with CIBC World Markets, extends the previous two surveys by asking new questions about certain aspects of derivative use and risk management practice. This report compares responses across the various surveys and notes changes in responses over time. A tabulation of the responses to all questions is included in the appendix.

What is Risk Management.- The role of the Balance Sheets and of Capital.- Accounting Principles.- Risk Appetite and Tolerance.- Key Insurance Processes and their Risks.- Financial Risks and their Modelling.- Insurance Risks.- Operational Risks.- Capital Models and Integrated Risk Management.- Risk adjusted performance Metrics.- Risk Management in a Group and Intra-group Transactions.- Products and their Risks.- Emerging Risks.- Regulatory view on Risk Management: Solvency II.- Governance and Organisation.- A Stochastic Processes.- B Application of the Markov model to Life Insurance.- C Abstract Valuation.- D An Introduction to Arbitrage Free Pricing.- E An Introduction to Stochastic Integration.- F CERA Comparison.

Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations

PurposeThe purpose of this paper is twofold: first to add to the debate on good governance and ethics of enterprise risk management (ERM) and second to describe an ethical maturity scale based on duty and responsibility for practical implementation to ensure better governance.Design/methodology/approachThe methodology has centred on risk governance as a way for many organisations to improve their risk management (RM) practices from an ethical perspective based on responsibility and on fulfilling one's duty within the organisation.FindingsWhile companies in Australia, for example, are more mature than those in Russia in terms of governance systems life cycle, there are a number of common international challenges in risk governance implementation. These relate to a link between risk framework, enterprise value model and strategic planning; to a definition of risk appetite, the embodiment of RM in organisational culture, internal audit and ERM function, the evolving role of a chief risk officer (CRO) and senior management buy‐in and sponsorship of the integrated ethical RM from a chief executive officer.Practical implicationsERM – a way for many organisations to improve their RM practices – is a key component of the applied ethics of corporate governance. It has developed into a philosophy to assist organisations with the process of protecting shareholders' value while also increasing the bottom‐line profitability. Effective ERM is based on ethical risk governance. Internal audit needs to be involved in the process of integrating RM and compliance. It should maintain a degree of independence when assisting with ERM establishment. CRO is most effective when reporting to the board.Originality/valueGlobal companies are becoming more accountable to multiple stakeholders. It is the adoption of an ethical code to arrest the lack of clarity of roles ascribed to the audit committee and risk committee and management's accountability or lack thereof that remains the challenge across different jurisdictions. In attempting to implement good governance and meet the challenges, the paper introduces an ethical maturity scale as an internal measure that could be embedded in an organisation's strategy.

The rapid advancement of artificial intelligence (AI) technologies, particularly generative AI and large language models (LLMs), has ushered in a new era of possibilities for the financial sector. This paper explores the integration of these cutting-edge technologies into financial sector risk management, examining both the potential applications and the necessary regulatory frameworks. We provide a comprehensive analysis of how generative AI and LLMs can revolutionize risk assessment, fraud detection, market analysis, and regulatory compliance. The study delves into the technical aspects of these AI models, their implementation challenges, and the implications for existing risk management practices. Furthermore, we propose a novel framework for the responsible adoption of AI in financial risk management, addressing concerns related to model interpretability, data privacy, and algorithmic bias. Our findings suggest that while generative AI and LLMs offer unprecedented opportunities for enhancing risk management capabilities, they also necessitate a recalibration of regulatory approaches to ensure financial stability and consumer protection. This research contributes to the growing body of literature on AI in finance and provides actionable insights for practitioners, policymakers, and researchers in the field.

PurposeThis article examines the relationship between financial risk management and succession planning in family businesses. Motivated by the Theory of Planned Behaviour, we hypothesize that the use of professional risk management practices is associated with an increased likelihood that businesses adopt professionalized approaches to succession planning. We then investigate if succession planning professionalization is, in turn, positively related to the financial performance of family businesses.Design/methodology/approachWe apply binary probit and ordered dependent variable regressions to unique data generated from a survey sample of Australian family businesses. To check the robustness of our results to potential endogeneity concerns we apply difference tests to propensity score matched sub-samples from our original cohort of respondents.FindingsThe results show that, in contrast to verbal or absent succession arrangements, formal written succession plans are both positively associated with the use of financial risk management practices and with superior financial performance in family businesses.Originality/valueOur arguments and findings suggest that active financial risk management provides a platform for planning succession in family businesses, and that this links with improved short-term financial performance. In light of the critical role that succession plays in ensuring long-term business sustainability, our findings provide important and novel insights into the conditions under which family businesses are most likely to use formal professionalized succession planning.

Implementation of the Single Customs Territory (SCT) in Tanzania, particularly at strategic points like the Holili border, continues to face significant challenges due to various risk factors that hinder the efficiency and effectiveness of cross-border trade. Despite the application of the SCT framework, risks related to compliance, security, and financial management remain persistent obstacles to trade facilitation. This study aims to assess the effectiveness of SCT risk management in enhancing cross-border trade by examining the influence of compliance, security, and financial risks. A convergent research design with a mixed approach was employed. The sample size of 200 respondents was selected using a convenience sampling technique. The data was collected through a structured questionnaire. The instrument was ensured through expert review, while reliability was confirmed with a Cronbach’s alpha coefficient of 0.846, indicating a high level of internal consistency suitable for data collection. Multiple linear regression analysis was used for data analysis. Testing the research hypothesis showed that managing the three risk factors (compliance risk, security risk, and financial risk) has a statistically significant and positive influence on cross-border trade, with financial risk management emerging as the most dominant predictor. In particular, effective compliance measures ensuring accurate documentation and adherence to trade regulations facilitate smoother trade processes. Similarly, strengthened security mechanisms, such as cargo scanning and tracking technologies, minimize disruptions and delays. Most notably, robust financial risk management practices significantly reduce fraudulent practices, build trust among trading parties, and improve the overall integrity and efficiency of trade operations. These findings affirm the importance of an integrated risk management approach in improving cross-border trade outcomes. The Tanzania Revenue Authority and relevant regional bodies should prioritize capacity building in financial oversight and deploy advanced monitoring tools to mitigate identified risks and optimize SCT performance. In addition, the results of this research may help improve the risk management system of single customs territories in other countries.

Chinese financial market environment has also undergone a series of changes. How banks can identify and effectively prevent and control financial risks has become the focus of their research. For this reason, this paper makes a careful study on the management ideas of bank financial risk, first introduce the relevant content and characteristics of bank risk identification and management, explaining the new requirements and challenges brought about by the bank's financial risk management under the current background, and focus on analyzing the relatively representative issues in the financial risk management of banks in various regions, finally, it puts forward the strategies and improvement ideas on how to improve the quality and efficiency of bank risk management.

This study examines the impact of risk management and compliance practices on the financial performance and corporate reputation of financial institutions in Indonesia. Utilizing a quantitative approach, data were collected from 160 financial institutions through a structured questionnaire and analyzed using Structural Equation Modeling-Partial Least Squares (SEM-PLS 3). The results indicate that both risk management and compliance practices significantly enhance financial performance and corporate reputation. Specifically, risk management practices have a stronger positive impact on both outcomes compared to compliance practices. These findings underscore the necessity for financial institutions to integrate comprehensive risk management and compliance strategies into their operations to achieve financial stability and bolster their reputation. The study provides valuable insights for practitioners and policymakers, highlighting the critical role of these practices in fostering long-term sustainability and success in the financial industry.