Efficiency of Financing Transactions of the Real Sector of the Economy with the Use of a Currency Barrier Option in the Conditions of Economic Imbalance 2013—2018

Abstract

Goals. A comprehensive author’s study of the eff ectiveness of financing transactions in the real sector of the economy using a currency option with a barrier suspensive condition in conditions of economic imbalance. Assessment of the Russian practice of insuring market risks throughover-the-counter derivative financial instruments. Methods. The study used a mathematical model of Rayner and Rubinstein were used to calculate the fair value of options. Results. The sale of a call option of the «foreign exchange delivery option with a barrier condition» type allows the company to receive an option premium, but at the same time the company assumes an unlimited risk of losses. If the transaction is concluded by the parties for speculative purposes, then the symmetry and balance of the positions is achieved due to the amount of the premium paid by the buyer. The recommendations given in the article on the use of currency barrier options and the assessment of their value will improve the efficiency of market risk management systems in real sector companies. Conclusions. In the period from 2013 to 2018, companies actively used derivative financial instruments in their practice, both for the purpose of hedging or obtaining an option premium, and for the purpose of reducing the cost of ruble financing. Incorrect assessment of their risks, insufficient experience in the use and evaluation of derivatives led to the fact that by the end of 2014—2018, in fact, most of the largest Russian companies suff ered a loss from the use of derivative financial instruments. The competent use of derivatives for the purposes of hedging market risks will allow companies toavoid losses in conditions of increased risk.