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0Управление процентными рисками и их влияние на инвестиционные портфели: влияние колебаний процентных ставок на финансовые активы и инструменты хеджирования
Жармагамбетов Ернар,
независимый исследователь
E-mail: [email protected]
Статья посвящена изучению влияния колебаний процентных ставок на финансовые активы и методов хеджирования. Основная задача - разработка стратегий, позволяющих снизить влияние процентных рисков на инвестиционные портфели. Во введении акцентируется внимание на важности темы, поскольку изменение ставок влияет на устойчивость и доходность финансовых инструментов, что требует внедрения эффективных подходов к управлению.
Рассматриваемые в научной работе методы включают использование производных финансовых инструментов, прогнозирование изменения ставок с использованием алгоритмов искусственного интеллекта, оптимизацию структуры портфеля. Практическая часть связана с анализом возможности их применения в банковской и инвестиционной деятельности. Такой подход позволил выделить конкретные рекомендации для специалистов, занимающихся управлением активами. Результаты показывают, что использование производных инструментов для хеджирования рисков, а также корректировка стратегий в зависимости от изменения рыночной конъюнктуры снижает возможные потери. Прогнозирование ставок с использованием передовых методов анализа помогает адаптировать инвестиционные решения в условиях нестабильной экономики. В выводах научной работы подчеркивается необходимость внедрения технологий анализа, использования современных финансовых инструментов и подходов, повышающих эффективность управления портфелем. Представленные в статье решения ориентированы на специалистов, работающих в сфере финансового менеджмента. В заключительной части формируется идея о том, что полноценное управление процентным риском возможно с учетом комплексного подхода, включающего традиционные методы и новые технологии.
Ключевые слова: процентные риски, инвестиционные портфели, хеджирование, диверсификация, финансовые активы, машинное обучение, прогнозирование, устойчивость, финансовые инструменты, экономические потрясения.
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Introduction
In the current economic environment, managing interest rate risks has become a key priority for financial institutions, investors, and market participants. Fluctuations in interest rates impact asset values, portfolio returns, and the stability of the financial system. Changes in the economic landscape and monetary policy necessitate the development of approaches that ensure resilience and profitability.
Interest rate risks arise from changes in the value of bonds, stocks, and other financial instruments influenced by rate fluctuations. This affects portfolio returns and may result in material losses. Risk management strategies include diversification, the use of derivative instruments, and interest rate forecasting. These methods help adapt investment strategies to market dynamics and improve the predictability of financial outcomes.
The relevance of this topic lies in the need to develop strategies that minimize the impact of risks in an unstable economy. The use of analytical methods and artificial intelligence technologies enhances the accuracy of forecasts and allows for the optimization of investment decisions.
This study focuses on the specific characteristics of managing interest rate risks faced by enterprises located in the Republic of Kazakhstan.
The article aims to analyze methods of managing interest rate risks and their influence on portfolio returns, as well as to provide recommendations for applying approaches that align with current market conditions.
Materials and Methods
Interest rate risks arising in the course of investment activities require approaches that can adapt strategies to changing market conditions. The key aspects of scientific research in this area are outlined below.
The articles by He Y., Chen P. [1], and Hata H. [2] propose approaches that account for random rate fluctuations. He and Chen applied the CEV (Constant Elasticity of Variance) model, reflecting the volatility of interest parameters. Hata developed an asset management methodology based on the lognormal distribution of rates, providing practical solutions to mitigate financial risks.
The scientific works of Burke Q.L., Warfield T.D. [4], and Beutler T. et al. [7] examine the impact of interest rate changes on banking processes. Burke and Warfield studied the accounting of rate fluctuations, highlighting their significance for income stability in banking institutions. Beutler detailed the effect of rate changes
on credit policies, demonstrating a correlation between rising rates and reduced loan issuance volumes.
Kumar B.C., Ramasamy R., and Mohamed Z. [6], along with Gerasimov K.B. and Shkodina E.S. [5], propose methodologies for assessing and managing interest rate risks. Kumar used probabilistic models to calculate Value at Risk (VaR), protecting bond portfolios. Gerasimov developed algorithms for adapting to changes in interest and currency indicators, ensuring precise results.
The studies by Podkaminer E., Tollette W., Siegel L. [3], de Lannoy L.R. A. et al. [8], and Lu S. [10] highlight the effect of interest rate changes on assets. Podkaminer provided practical recommendations for managing portfolios under rate shocks. De Lannoy analyzed the management of public assets, while Lu examined the resilience of bonds in long-term planning.
Using the example of investment companies registered on the Nairobi Stock Exchange, Mwalolo S.C. [9] demonstrated how effective risk management enhances financial stability.
The article by V.D. Stepanov and co-authors [11] discusses the role of financial derivatives as risk management tools. The authors detail the functional features of these instruments in highly volatile markets, noting their ability to reduce uncertainties and prevent losses during abrupt market changes. Significant attention is paid to quantitative methods for analyzing the effectiveness of derivatives, reflecting a systematic approach to the issue.
Rahmonov Sh. Sh. [12] focuses on studying cash flow hedging as a strategy to stabilize the financial activities of enterprises. The analysis examines the impact of this method on cash flow stability under volatile economic conditions, emphasizing the necessity of integrating hedging into financial management systems. Practical aspects of implementing this strategy are explored in detail, adding practical value to the work.
The reviewed scientific literature underscores the diversity of approaches employed to minimize interest rate risks. The integration of these developments into unified models that consider the mutual influence of various factors remains a pressing task for advancing comprehensive solutions in financial risk management.
Various methods were utilized in this study, including a review of the literature on interest rate risk. Particular attention was given to data illustrating the specifics of hedging and asset diversification in unstable economic environments.
Results and Discussion
The dynamics of interest rates significantly influence the development of investment strategies. These fluctuations affect asset valuation, alter returns, and reshape liquidity levels. To manage portfolios effectively, it is essential to analyze the mechanisms of interest rate risk and identify ways to mitigate it. Rate fluctuations modify the interactions between asset classes, creating additional challenges for analysts and portfolio managers.
Interest rate risk is defined as the change in the value of financial assets due to market rate fluctuations.
Its impact affects various aspects of portfolio management, necessitating a systematic approach to analysis [7]. Figure 1 below presents the key aspects of interest rate risk.
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Fig. 1. Aspects of interest rate risk (Compiled by the author)
The presented data is described in greater detail below.
Asset value sensitivity. Fluctuations in interest rates influence the market value of fixed-income financial instruments. The magnitude of this change depends on parameters such as duration, convexity, and the structure of debt instruments.
Reinvestment of income. Income from coupon payments or principal repayment is subject to reinvestment under conditions that may differ from the originally established terms. A decline in rates reduces asset yields, leading to a restructuring of the portfolio.
Maturity mismatch between assets and liabilities. Different maturities for assets and liabilities heighten the portfolio's sensitivity to changes in the yield curve, complicating cash flow forecasting [5,6].
Evaluation methods are depicted for clarity in Figure 2.
Rate fluctuations directly affect bond valuations, particularly long-term bonds, whose prices are highly sensitive to monetary policy changes. A decrease in rates forces investors to acquire new debt securities with less favorable parameters.
Modern risk management methods include asset diversification, derivative usage, and forecasts based on advanced analysis. Adding floating-rate bonds or inflation-protected instruments to a portfolio reduces its sensitivity to rate fluctuations.
Interest rate swaps lock in capital costs, futures offset losses from rising rates, and options provide flexibility in management strategies. The effectiveness of these tools depends on forecast accuracy and analytical quality.
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Asset Value Sensitivity
Reinvestment of earnings
Asset and Liability Maturity Mismatch
Assessment methods
f -) Duration and its modification Duration measures how the value of a debt instrument changes when the rate changes. The modified indicator refines this estimate t for small fluctuations
Testing a portfolio under hypothetical scenarios, including extreme rate changes, helps understand its resilience
Fig. 2. Evaluation Methods [5,6]
Interest rate fluctuations impact financial assets differently. Bonds exhibit sensitivity to rate changes due to their reliance on discounting mechanisms. A rise in rates reduces the prices of previously issued bonds, as their yields become less competitive relative to newer issues. Duration is a critical factor in determining the extent of value changes, with long-term bonds being particularly susceptible.
When rates decrease, the market value of previously issued bonds increases, enhancing their investment appeal in a more accommodative monetary policy environment. However, the risk of yield curve inversion can signal a potential economic slowdown.
Interest rates also affect equities through various mechanisms. Rising rates increase borrowing costs, which reduces company profitability, particularly in sectors with high leverage. Higher rates make fixed-income instruments more attractive to investors, diminishing interest in equities [8].
The impact of interest rates on stocks is also influenced by market participants' expectations. If an increase in rates is perceived as a temporary measure to control inflation, companies with stable cash flows remain attractive. A reduction in rates creates favorable conditions for technology sectors due to the reduced cost of capital.
Interest rates play a significant role in shaping currency yield differentials. Rising rates in a country increase capital inflows, strengthening its currency by enhancing the attractiveness of its assets. Such changes may lead to reduced liquidity in emerging market economies, often accompanied by the weakening of their currencies.
Conversely, a decrease in rates has the opposite effect, weakening the national currency. However, the degree of influence is determined by other factors, including inflation levels, the balance of payments, and investor confidence in economic policy [10].
Real estate is highly dependent on borrowing costs. An increase in rates raises mortgage expenses, reduces housing affordability, and diminishes investment interest in the sector. Conversely, lower rates stimulate demand for real estate due to cheaper borrowing.
Pricing in the real estate market is also influenced 3 by demographic changes, urbanization levels, and the e availability of land resources. Interest rates serve as ^ a supplementary factor, amplifying or mitigating existed ing market trends.
cm Various instruments are used to mitigate the risks J of rate fluctuations. Futures contracts are agreements
between participants in exchange trading. Under the terms of a futures contract, one party commits to purchasing a specific asset from the other party at a predetermined price in the future. Investors sell futures to hedge risks and reduce potential losses. If the forecast materializes and the asset's value declines, profits from the futures contract offset losses from the drop in stock prices. Conversely, if prices rise, the investor gains from the stock increase while incurring losses on the futures contract.
Unlike futures, options provide the buyer with the right, but not the obligation, to buy or sell an asset at a specific price in the future. The option's price is based on the value of the underlying asset in the transaction. If prices move unfavorably for the investor, they can choose not to execute the option, incurring only the cost of the option premium paid at the time of the contract.
Interest rate swaps are used to restructure liabilities, allowing a transition from floating to fixed rates [9].
Managing bond portfolio duration reduces its sensitivity to rate changes. When rate increases are anticipated, short-duration bonds are prioritized. In contrast, falling rates shift the focus to long-term instruments.
To reduce risks, portfolios often include assets that are less dependent on rate fluctuations. Real estate, gold, and stocks of companies with minimal debt burdens help offset potential losses in other segments.
The use of machine learning algorithms improves portfolio management by accounting for economic in-terdependencies. Modern algorithms such as neural networks, gradient boosting, and recurrent networks provide more accurate forecasting than traditional methods. They are capable of analyzing extensive datasets, including macroeconomic indicators, market quotes, analyst forecasts, and even textual information such as bank commentary or economic news. Through natural language processing, these systems can evaluate market sentiment, enabling the consideration of not only actual data but also market participants' expectations. For example, analyzing bank statements or financial reports can yield early signals of changes in monetary policy, which, in turn, influence interest rate dynamics.
Machine learning also facilitates model adaptation to changes in economic conditions. Unlike traditional models, which are often static and dependent on predefined assumptions, ML systems can learn from new data.
The application of AI optimizes asset management strategies. Based on interest rate forecasts, invest-
ment companies can make precise decisions on asset allocation and risk management. Machine learning is used to simulate various scenarios, such as shifts in monetary policy, global economic crises, or unexpected external shocks, providing investors with the ability to prepare for market changes. Additionally, these approaches help identify potential risks.
At the level of banks and regulators, AI enables a deeper understanding of macroeconomic trends and the development of accurate forecasts. ML allows for modeling the effects of monetary policy, such as the impact of changes in the refinancing rate on inflation and economic growth. This capability supports informed decision-making, reducing the likelihood of adverse economic outcomes. The primary advantage lies in the ability to consider interconnections between economic parameters that traditional approaches cannot capture.
However, despite its advantages, modern technologies face several challenges. One significant issue is the interpretability of models. Neural networks and other algorithms often function as "black boxes," making it difficult for even specialists to understand their decisions. Another challenge is the reliance on data quality and completeness. Errors in data or insufficient representativeness can reduce forecasting accuracy [11].
In the context of the Republic of Kazakhstan, the financial sector employs approaches to adapt to changes in base rates. Companies use hedging as a risk management strategy, allowing investors to respond to potential changes in the value of securities or other assets. Hedging enables investors to transfer risks to market participants willing to assume them, typically speculators. Speculators earn profits by taking on these risks. Hedging is executed using derivatives or financial instruments. Additionally, automation of analysis and educational programs for skills enhancement are employed [12]. These measures contribute to risk reduction and financial stability. The advantages and disadvantages of interest rate risk management are detailed in Table 1 below.
Table 1. Advantages and disadvantages of interest rate risk management [8-11]
Окончание
Advantages Disadvantages
Reduction of financial losses: minimizes the negative impact of rate changes. High hedging costs: protective tools like derivatives require significant expenditures.
Predictable returns: helps stabilize cash flows. The complexity of forecasting: rate changes depend on numerous factors.
Improved financial planning: enables more accurate planning. Limited flexibility: fixed rates or long-term hedges may become disadvantageous if conditions change.
Reduced market volatility impact: decreases dependence on external factors. Potential missed opportunities: organizations may lose the benefit of lower rates.
Lower default risk: reduces the likelihood of breaching obligations. Dependence on analysis quality: effectiveness relies on the accuracy of analytical forecasts.
Advantages Disadvantages
Increased investor confidence: demonstrates resilience to market fluctuations. Implementation complexity: requires specialized knowledge and resources.
Risk diversification: spreads risks using various instruments. Regulatory restrictions: potential limitations on specific hedging tools.
Interest rate risk management relies on proven methods and modern technologies. The optimization of asset management tools has become a key aspect of enhancing portfolio resilience.
Conclusion
The article on interest rate risk management highlights the need to develop approaches to ensure financial stability. Fluctuations in interest rates present challenges that require comprehensive solutions.
Data analysis indicates that asset diversification reduces the likelihood of losses. This method helps optimize portfolio structures by mitigating the impact of rate changes on value. The use of derivatives, such as interest rate swaps and options, stabilizes capital value. Artificial intelligence technologies combined with machine learning algorithms improve the accuracy of interest rate forecasts, adapting strategies to evolving economic conditions.
The results emphasize that interest rate risk management is achieved through the integration of multiple approaches. Rational asset allocation, the use of derivatives, and the implementation of analytical technologies provide a foundation for constructing portfolios that maintain stability in volatile conditions.
The practical significance lies in offering analysts and asset managers tools to minimize risks. Future development prospects focus on creating models for forecasting interest rate market changes and enhancing investment management methods.
INTEREST RATE RISK MANAGEMENT AND THEIR IMPACT ON INVESTMENT PORTFOLIOS. THE IMPACT OF INTEREST RATE FLUCTUATIONS ON FINANCIAL ASSETS AND HEDGING INSTRUMENTS
Zharmagambetov Yernar
The article is devoted to studying the impact of interest rate fluctuations on financial assets and hedging methods. The main task is to develop strategies that can reduce the impact of interest rate risks on investment portfolios. The introduction focuses on the importance of the topic since changes in rates affect the stability and profitability of financial instruments, which requires the introduction of effective management approaches.
The methods considered in the scientific work include the use of derivatives, forecasting changes in rates using artificial intelligence algorithms, and optimizing the portfolio structure. The practical part is related to the analysis of the possibility of their application in banking and investment activities. This approach allowed us to identify specific recommendations for professionals involved in asset management.
The results show that the use of derivatives to hedge risks, and adjusting strategies depending on changes in market conditions reduces possible losses. Forecasting rates using advanced analysis methods help to adapt investment decisions in an unstable economy. The conclusions of the scientific work emphasize the need for the introduction of analysis technologies, and the use of modern financial
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instruments and approaches that increase the efficiency of portfolio management. The solutions presented in the article are aimed at specialists working in the field of financial management. In the final part, the idea is formed that full-fledged interest rate risk management is possible taking into account an integrated approach that includes traditional methods and new technologies.
Keywords: interest rate risks, investment portfolios, hedging, diversification, financial assets, machine learning, forecasting, sustaina-bility, financial instruments, economic shocks.
References
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10. Lu S. Analysis of Bond Investment based on Immune Strategy //2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022). - Atlantis Press, 2022. - P. 2116-2121.
11. Stepanov V. D. et al. Financial derivatives and their role in risk management in conditions of volatile markets // Journal "Human Progress" http://progress-human. com. - 2024. - T. 10. - No. 5. Rakhmonov Sh.Sh. Hedging of cash flows as a potential instrument of influence on the income of economic entities //Gosp-odarka i Innowacje. - 2024. - V. 47. - P. 181-184.
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