Keyword: «securities portfolio»

The article considers a classical approach to assessing the market risk of financial instruments and portfolios composed of them, based on calculating the indicators of variation in yield. The shortcomings of this approach are shown. It is noted that the Value-at-Risk indicator should be used to eliminate the identified shortcomings. A Value-at-Risk approach based on the dynamic distribution histogram is proposed, which allows to significantly improve the quality of this calculation, in comparison with the method of Risk Metrics of J.P. Morgan.

The article is devoted to the analysis of the effectiveness of PJSC "Sberbank of Russia" investment activity. The authors considered four scenarios of the dynamics of the real return on the debt securities portfolio of PJSC “Sberbank of Russia” for the future. Taking into account the formed scenarios, the authors formulate proposals on the structure of the investment portfolio.