Features of the use of digital Risk management tools in the capital market and the organized commodity market

Parii, Liudmyla et al. Article — Published Version Features of the use of digital Risk management tools in the capital market and the organized commodity market E3S Web of Conferences Suggested Citation: Parii, Liudmyla et al. (2023) : Features of the use of digital Risk management tools in the capital market and the organized commodity market, E3S Web of Conferences, ISSN 2267-1242, EDP Sciences, Les Ulies, Vol. 389, pp. 1-16, https://doi.org/10.1051/e3sconf/202338909023 This Version is available at: https://hdl.handle.net/10419/271125 Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. 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If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence. https://creativecommons.org/licenses/by/4.0/ Features of the use of digital Risk management tools in the capital market and the organized commodity market Liudmyla Parii1, Tetiana Makarenko1, George Abuselidze2 * , Anna Slobodianyk3, Olga Mohylevska4, and Ihor Sidak5 1 State University of Telecommunications, Solomenskaya, 7, Kiev, 03110, Ukraine 2 Batumi Shota Rustaveli State University, Ninoshvili, 35, Batumi, 6010, Georgia 3 National Aviation University, Liubomyra Huzara, 1, Kyiv, 03058, Ukraine 4 Kyiv International University, Lvovskaya, 49, Kyiv, 03179, Ukraine 5 European University, Akademika Hlushkova Ave, 42V, Kyiv, 02000, Ukraine Abstract. The article discusses the features of the introduction of digital risk management tools in the capital market and the organized commodity market. In the course of research, it has been proved that a detailed classification of exchange risks is necessary for their identification at the stage of developing an exchange agreement, planning the income of all participants in an organized commodity market: enterprises (clients of the trading platform), brokers and others. It is proved that the price of grain, determined not so much by the costs of the commodity producer, as by supply and demand and the political situation in the relevant market, is a key element determining the profitability of their economic activities. The current situation shows that the development of an organized commodity market for grain futures will reduce the number of futures transactions concluded by investors on foreign exchanges, thereby increasing the capitalization of domestic trading platforms operating in the capital market and organized commodity market and generally increase the competitiveness of the financial market. Since in a market economy there are frequent fluctuations in prices for goods and services, ex-change rates, interest rates, these facts are catalysts not only for pre-dicting future market conditions, but also for insuring their activities, which will allow hedging on another person, more often on a financial intermediary (speculator). The tools for risk management at the enterprise are highlighted, which can be used by commodity producers independently, while the tools for transfer and risk sharing assume the existence of an appropriate institutional environment and market infrastructure. It is noted that the use of risk management in working with grain futures can allow agricultural producers, processors, elevators to increase the profitability of their enterprises by insuring risks from adverse price changes (especially during a period of high market volatility) in an organized commodity market; to participate in the formation of a fair market price for grain; to plan and control the monetary results of activities more accurately; to ensure the reliability of calculations; to get the * Corresponding author: [email protected] E3S Web of Conferences 389, 09023 (2023) https://doi.org/10.1051/e3sconf/202338909023 UESF-2023 © The Authors, published by EDP Sciences. This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0 (https://creativecommons.org/licenses/by/4.0/). best credit opportunities in banks; to expand opportunities for buying and selling grain. 1 Introduction Risk is inherent in any sphere of human activity associated with a variety of conditions and factors leading to a positive or negative result of decisions made by individuals. Historical experience shows that the risk of not receiving the intended results especially began to manifest itself in the conditions of universality of commodity-money relations, competition of participants in economic turnover, therefore, with the emergence and development of capitalist relations, different risk theories appear, and the classics of economic theory pay special attention to the study of risk problems in entrepreneurial activity. If the risk is unavoidable, then the problem of its analysis, evaluation, choice of measurement methods and possibilities for further management becomes particularly relevant. As a result of the risk analysis, a picture of possible risk events, the probability of their occurrence and consequences comes out; risk assessment using special methods. After comparing the obtained risk values with the maximum permissible ones, a risk management strategy is developed, and on this basis, measures to prevent and reduce risk are proposed. The effectiveness of the risk management system largely depends on the probability and accuracy of forecasts of price dynamics of financial instruments and methods of assessing their impact on the value of open positions of economic entities. Therefore, forecasting the dynamics of the financial market, determining the impact of risks on the financial stability of market participants and the use of modern methods of risk reduction, in particular hedging, form the fundamental basis of the risk management system for any participant in market relations. At the present stage of information technology development, the growth of transaction volumes and the emergence of new tools in the financial market of forecasting and hedging as important components of the risk management process are impossible without the use of innovative tools. It is the use of modern strategies, methods and management systems that ensures the successful solution of these problems. The purpose of the scientific work is to develop measures to minimize risks in exchange activities. Further study of exchange risks, their types, nature of occurrence, clarification and additions to existing systems of classification of exchange risks, factors affecting the degree of risk. To achieve these goals, it is necessary to solve the following tasks, including to study the economic essence of risk; to investigate the classification of risks in ex-change activities in the organized commodity market; to work out the types of risks in the exchange market; to investigate the trends of the global exchange market; to assess the management of price risks based on "long hedging" strategies; to assess the management of price risks based on strategies short hedging; explore the advantages and disadvantages of hedging with exchange-traded instruments; to develop prospects for the development of trading in urgent instruments in Ukraine; to investigate the economic efficiency of using spread trading strategies. 2 Materials and methods Exchange activity is impossible without risk. Each participant in exchange trading tries to make a profit, doing everything possible to avoid a situation directly related to risks. A significant number of scientific works of foreign and domestic researchers are devoted to the problems of risk research and the mechanism of their hedging in organized commodity markets: J. Junttila, J. Pesonen & J. Raatikainen (2018), A. Sarris, P. Conforti & A. Prakash E3S Web of Conferences 389, 09023 (2023) https://doi.org/10.1051/e3sconf/202338909023 UESF-2023 2 (2011), B. Gaudenzi, G.A. Zsidisin, J.L. Hartley & L. Kaufmann (2018), F. Wen, J. Cao, Z. Liu & X. Wang (2021), G. Abuselidze (2021), P. Arunanondchai, K. Sukcharoen & D.J. Leatham (2020), T. Matsumoto & Y. Yamada(2021) [1-7]. In recent years, more and more attention has been paid to risk research, considering the role and their significance in the market sphere and the im-pact on pricing. In particular, we can highlight the works of such authors as T. McGough & J. Berry (2022), A.K. Tiwari, S.K. Jena, A. Mitra & S.M. Yoon (2018), S. Mahapatra & S.N. Bhaduri (2019) [8-11]. Hedging is often compared with a similar, but not identical type of activity – insurance. Taking into account the absence of hedging in practice at the present stage of the formation of an organized commodity market, there is a need for further research on risk management during the development of exchange activities. 3 Results The categories "risk" and "profitability" form the core of modern risk management concepts. The inevitability of risk in the pursuit of ultra-high incomes is taken into account when planning, creating and developing an enterprise in business plans. For example, when conducting marketing research, they take into account the possibility of incurring losses when demand drops and prices for products and resources change (entrepreneurial risk). In the planning and organization of production activities, the risk of a decrease in profitability is taken into account, setting a certain level of resource efficiency, the level of current costs and profits. When making a decision on investments and financing, they take into account the risk of loss of financial stability and liquidity. In the process of monitoring the business plan, a conscious and accepted level of risk is monitored when organizing and coordinating the activities of departments and performers. The remuneration of managers, accordingly, should depend on their ability to foresee the development of events and make effective decisions in conditions of increased risk. Risk is understood as all internal and external prerequisites that can negatively affect the achievement of strategic goals during a precisely defined period of observation time, for example, the operational planning period. Strategic indicators include revenue and cost coverage, including interest on capital, turnover, quality, and image. Risk manipulation is the development and implementation of measures that will compensate for future risks (for example, hedging), reduce them (for example, by deciding on a less risky alternative activity, diversification) or transfer (for example, through insurance), avoid risky actions or consciously take risks (accept). Through risk, damage is realized, acquiring concretely changing and real outlines. Otherwise, it is a quantitative assessment (criterion) of a successful or unsuccessful result. Risk measurement is possible mathematically through the use of probability theory and large numbers based on statistical data. Today, risks have become an integral tool of the market economy. They cannot be avoided because of their objective-subjective nature. The objectivity of risk is based on the fact that it exists due to objective, that is, inherent in the economy categories of uncertainty, and the lack of comprehensive information at the time of assessment and management decision-making. The subjectivity of risk is caused by the fact that there are real people in the economy (investors, managers, management teams, businessmen) with their experience, psychology, interests, tastes, inclination or aversion to risk, with their behavior, etc. [12]. Currently, there are several risk concepts in research (Fig. 1). E3S Web of Conferences 389, 09023 (2023) https://doi.org/10.1051/e3sconf/202338909023 UESF-2023 3 Fig. 1. Types of risk concepts. Note* built by the authors on the basis of [13]. The need to systematize and classify risks is due not only to theoretical, but also to practical needs, since risk classification in practice facilitates the process of identifying risks and contributes to the adoption of effective management decisions aimed at minimizing the negative impact of risk. The main responsibility of a manager in conditions of uncertainty is not to avoid risk, but to foresee it and reduce possible negative consequences to a minimum level or eliminate it altogether. Targeted actions to limit risk in the business system are called risk management. The risk management system includes the following main elements: • Identification of differences in risk alternatives; • Development of plans that allow optimal action in risk-related situations; • Development of specific recommendations aimed at eliminating or minimizing possible negative consequences; • Preparation for the adoption of by-laws and regulations related to risky activities; • Accounting and analysis of psychological perception of risk decisions and programs. For almost any operation related to economic activity, the initial and final states have a monetary value. The purpose of its implementation is to maximize profit – the difference between the final and initial estimates (or some similar indicator). As a rule, such operations, especially financial ones, are carried out under conditions of uncertainty, so their consequences cannot be foreseen in advance. These operations are risky: when they are carried out, both profit and loss are possible. The species diversity of risks and ways of their expression is quite significant. However, whatever the form of expression of the risk caused by the uncertainty of the economic situation, its content is the deviation of the actually established data from the typical, stable, average levels or the alternative value of the assessed attribute. 3.1 Optimality criteria The uncertainty associated with the lack of information about the probabilities of environmental conditions (nature) is called hopeless. In such cases, criteria are used to determine the best solutions: • the criterion of a guaranteed result (Wald's maximistic criterion) is an inherently pessimistic criterion, since only the worst of all possible results of each alternative is E3S Web of Conferences 389, 09023 (2023) https://doi.org/10.1051/e3sconf/202338909023 UESF-2023 4 taken into account. This approach sets a guaranteed minimum, although the actual result may not be so bad; • the criterion of optimism (Maximax criterion) corresponds to an optimistic offensive strategy. No possible result is taken into account here, except the best; • the criterion of pessimism is characterized by choosing the worst alternative from the worst of all the worst payback values; • Savage's minimax risk criterion can be considered as a criterion of least harm, which determines the worst consequences for each alternative and selects an alternative with the best of the bad values; • Hurwitz's generalized maximum (pessimism– optimism) criterion allows us to take into account the state between extreme pessimism and unrestrained optimism. The application of various performance criteria for various tasks of choosing optimal solutions under conditions of uncertainty shows that an approach based on the complex application of these criteria can become decisive. 3.2 The criterion of a guaranteed result It is also called the Wald maximum criterion. The essence of this criterion is as follows. The optimal solution has many strategies (options, alternatives) for solving the problem: 𝑃 = {𝑃𝑖}, 𝑖 = 1,𝑚. These strategies are considered controlled (controlled) factors. Along with the controlled factors, there are factors that cannot be controlled. Denote them by П= {П𝑗}, 𝑗 = 1, 𝑛. Pi can be: technical parameters of the designed systems, economic indicators of the state of the enterprise, different options for solving the tasks. The factors of Пj are: the level of demand for goods offered by the company, market prices, operating conditions of technical and production systems, actions of competitors, etc. To evaluate the effectiveness of the decisions taken, we introduce the efficiency indicator E and consider that the function E (P, П) is known. Since the factors P and П are discrete, the efficiency E is also a set of discrete numbers. Thus, each point of controlled and uncontrolled factors (Pi, Пj) is assigned an efficiency value of E. So, we can build a matrix 𝐸 = ‖𝑒𝑖𝑗‖, which is presented in the form of Table 1. Table 1. Efficiency Matrix. П P П1 П2 ... Пп min eij j P1 e11 e12 … e1n min e(P1, П) P2 e21 e22 … e2n min e(P2, П) … … … … … … Pm em1 em2 … emn min e(Pm, П) Note* compiled by the authors according to [14]. For each controlled factor Pi (row), a minimum factor is found, as a result of which a set of values of the efficiency indicator min e(P1, П), min e(P2, П),..., min е(Рт, П) is determined. E3S Web of Conferences 389, 09023 (2023) https://doi.org/10.1051/e3sconf/202338909023 UESF-2023 5 Comparing the obtained values, a controlled factor Рr, is selected, at which the maximum value Е(Р, П) is provided. Thus, the criterion of a guaranteed result (the maximum Wald criterion) is written as: 𝐸𝑟= 𝑚𝑎𝑥 𝑖𝑚𝑖𝑛 𝑗𝐸(𝑃,П). This criterion ensures the maximization of the minimum gain or, what is the same thing, the minimization of the maximum losses that may occur during the implementation of one of the strategies. The criterion is simple and clear, but conservative in the sense that it orients the decision to an overly cautious line of behavior. The value corresponding to the maximum criterion is called the lower price of the game, which should be understood as the maximum gain guaranteed in a game with a given opponent by choosing one of their strategies with minimal results. This is a reinsurance position of extreme pessimism, designed for the worst case. Such a strategy is acceptable, for example, when a player is not so interested in great luck, but seeks to insure himself against unexpected losses. The choice of such a strategy is determined by the player's attitude to risk. 3.3 The criterion of optimism When using this criterion, which is also, called the Maximax criterion, the operating conditions of the systems under consideration will be the most favorable. As a result, the optimal solution is a strategy that leads to obtaining the highest value of the optimality criterion in the payment matrix. It is advisable to apply this criterion in cases where there is a fundamental opportunity to influence the functions of the opposite party. If the matrix of the Е(Р, П) effect of one kind or another is analyzed, then the choice of controlled factors is carried out in such a way as to ensure maximum effect. In this case, the criterion of optimism is written as 𝐸𝑜= 𝑚𝑎𝑥 𝑖𝑚𝑎𝑥 𝑗𝐸(𝑃,П) 3.4 The criterion of pessimism In contrast to the criterion of optimism, when they focus on the most favorable external environment, which is uncontrolled, and on the optimal use of controlled factors, when using the principle of pessimism, it is assumed that controlled factors can be used unfavorably: 𝐸𝑟= 𝑚𝑖𝑛 𝑖𝑚𝑖𝑛 𝑗𝐸(𝑃,П), where Е(Р, П) is a function of the effectiveness of decisions made. The application of this principle may cause some doubt, given that the factors P are controllable and should be used optimally in one sense or another. However, in real situations, in a number of tasks, it may be impossible to control the uncontrolled factors belonging to a set of P. This is especially true for tasks related to the need to take into account the time factor. These tasks include the following tasks: socio-economic forecasting; long-term planning; design of complex objects. For example, production costs are controlled factors in short time intervals. However, when analyzing long-term processes that make up several years, some elements of these costs become uncontrollable. Such elements include the cost of electricity, the cost of materials and purchased products. E3S Web of Conferences 389, 09023 (2023) https://doi.org/10.1051/e3sconf/202338909023 UESF-2023 6 Another example is the determination of the production volumes of an enterprise. This indicator can also be considered a manageable factor. But it depends on various factors that can be significantly applied in the production process. At the same time, these factors relate to the internal environment of the enterprise: the level of design and technological preparation of production, the type of equipment used the qualifications of employees, etc. 3.5 Sevidge criterion for minimax risk When using the above criteria, there may be situations when uncontrolled factors will act in a more favorable way compared to the worst condition that they were guided by. For example, weather conditions turn out to be more favorable than predicted. The number of competitors in certain markets turns out to be significantly less compared to the expectations that manufacturers were guided by. In such situations, the useful result may differ significantly from what is provided when implementing the criterion of a guaranteed result or the criterion of pessimism. Therefore, there is a need to determine possible deviations of the results obtained from their optimal values. The Savage criterion is applied here. Choosing a strategy is similar to choosing a strategy based on the Wald principle, with the difference that the player is guided by a risk matrix 𝑅 = ‖𝑟𝑖𝑗‖ or a missed opportunity matrix based on the E win matrix. The amount of risk is the amount of payment for the lack of information about the state of the environment. The risk 𝑟𝑖𝑗 of a player using the strategy Pi and the state of the environment Пj will be called the difference between the winnings that the player would have received if he knew that the state of the environment would be Пj, and the winnings that the player will receive without having this information. Knowing the strategy Пj, the player chooses the strategy in which his winnings are maximum, i.e. 𝑟𝑖𝑗 = 𝛽𝑗− 𝑒𝑖𝑗, where 𝛽𝑗= 𝑚𝑎𝑥 1≤𝑖≤𝑚𝑒𝑖𝑗 for a given value of j. The Savage criterion is formulated as follows: 𝐸𝑟𝑐 = 𝑚𝑖𝑛 𝑖𝑚𝑎𝑥 𝑗𝑅(𝑃,П) Thus, the Savage criterion minimizes possible losses. The main initial assumption of this criterion is the assumption that the choice of options for the situation is influenced by the actions of reasonable opponents (nature), whose interests are directly opposite to the interests. Therefore, if the opponents (competitors) have the opportunity to extract any advantages, then they will definitely do it. This circumstance makes it necessary to minimize losses as a result of these actions. 3.6 The criterion of generalized Maximin (pessimism-optimism) Hurwicz The criterion Hurwicz allows taking into account combinations of the worst states. When choosing a solution, this criterion recommends to be guided by some average result characterizing the state between extreme pessimism and unrestrained optimism. E3S Web of Conferences 389, 09023 (2023) https://doi.org/10.1051/e3sconf/202338909023 UESF-2023 7 In accordance with this compromise criterion, a linear combination of minimum and maximum winnings is determined for each solution, and preference is given to the solution variant for which the maximum indicator will turn out to be. Еi that is: 𝐸𝑖= {𝑘 𝑚𝑖𝑛 1≤𝑗≤𝑛𝑒𝑖𝑗 + (1 − 𝑘)𝑚𝑎𝑥 1≤𝑗≤𝑛𝑒𝑖𝑗} 𝐸𝑖𝑟 = 𝑚𝑎𝑥 1≤𝑖≤𝑚{𝑘 𝑚𝑖𝑛 1≤𝑗≤𝑛𝑒𝑖𝑗 + (1 − 𝑘)𝑚𝑎𝑥 1≤𝑗≤𝑛𝑒𝑖𝑗}, Where k is the coefficient considered as an indicator of optimism(0 ≤ 𝑘 ≤ 1). At k = 0, the criterion Hurwicz coincides with the maximum criterion, that is, the orientation to the marginal risk, because a greater gain is usually associated with a greater risk. When k = 1 – orientation to cautious behavior. The k value between 0 and 1 is intermediate between risk and caution and is chosen depending on the specific situation and the propensity for the optimal decision. Let's summarize all the optimality criteria in Table 2. Table 2. Table of optimality coefficients. Indicator Formula Title The greatest caution 𝐸𝑟=𝑚𝑎𝑥 𝑖𝑚𝑖𝑛 𝑗𝑒𝑖𝑗 Guaranteed result criterion (Walda) Least caution 𝐸𝑜=𝑚𝑎𝑥 𝑖𝑚𝑎𝑥 𝑗𝑒𝑖𝑗 Criterion of optimism Extreme caution 𝐸п=𝑚𝑖𝑛 𝑖𝑚𝑖𝑛 𝑗𝑒𝑖𝑗 The criterion of pessimism Minimal risk 𝐸𝑟𝑐 =𝑚𝑖𝑛 𝑖𝑚𝑎𝑥 𝑗𝑟𝑖𝑗 Savage Criterion Compromise in the solution 𝐸𝑖𝑟 =𝑚𝑎𝑥 1≤𝑖≤𝑚{𝑘 𝑚𝑖𝑛 1≤𝑗≤𝑛𝑒𝑖𝑗 + +(1 − 𝑘)𝑚𝑎𝑥 1≤𝑗≤𝑛𝑒𝑖𝑗} 𝐸𝑖𝑟 =𝑚𝑖𝑛 1≤𝑖≤𝑚{𝑘 𝑚𝑖𝑛 1≤𝑗≤𝑛𝑟𝑖𝑗 + +(1 − 𝑘)𝑚𝑎𝑥 1≤𝑗≤𝑛𝑟𝑖𝑗} (0 ≤ 𝑘 ≤ 1) Hurwicz Criterion Hurwicz criterion on the risk matrix Note* compiled by the authors on [14, 15]. 3.7 Pareto optimality The analysis of solutions with many criteria largely boils down to the organization in one form or another of interaction with the optimal decision, which can solve the problem of comparing different criteria. However, there is a rather limited environment in which the use of purely formal analysis without reference to the optimal decision is quite useful. 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