Subject. This article examines interest rate derivatives as a way to hedge the risks of construction companies in a period of high uncertainty in financial markets. Objectives. The article aims to build an approach to estimating the price of interest rate derivatives, taking into account the specifics of lending to construction companies in the Russian Federation. Methods. For the study, we used the Black model and a regression analysis. Results. The article presents the first version of the author-developed model for estimating cap options on the key interest rate of the Central Bank of the Russian Federation when lending to construction companies. Conclusions. It is necessary to make an amendment to the traditional model for estimating premiums for the cap option on the key interest rate of the Central Bank of the Russian Federation when lending to construction companies, taking into account the specifics of pricing such loans.
Boyle P.P. Options: A Monte Carlo Approach. Journal of Financial Economics, 1977, vol. 4, iss. 3, pp. 323–338. URL: Link90005-8
Jäckel P. Monte Carlo Methods in Finance. John Wiley & Sons, Inc., 2002, 240 p. URL: Link(Wiley_%202002)(T)(C)(232s).pdf
McLeish D.L. Monte Carlo Simulation and Finance. Hoboken, New Jersey, John Wiley & Sons, Inc., 2005, 387 p.
Robert C.P., Casella G. Monte Carlo Statistical Methods. Springer, 2005, 649 p.
Redhead K., Hughes S. Upravlenie finansovymi riskami [Financial Risk Management]. Moscow, INFRA-M Publ., 1996, 287 p.
Basten C., Guin B., Koch C. How Do Banks and Households Manage Interest Rate Risk? Evidence from Mortgage Applications and Banks' Responses. Staff Working Paper, 2018, no. 733. URL: Link
Baidina O.S., Baidin E.V. [Financial risks: nature and relationship]. Den'gi i kredit = Russian Journal of Money and Finance, 2010, no. 7, pp. 29–32. URL: Link (In Russ.)
Magzumova N.V., Naidenova V.V. [Management of interest risk in a commercial bank under the conditions of the modern market]. Nauchnyi vestnik Yuzhnogo instituta menedzhmenta = Scientific Bulletin of Southern Institute of Management, 2018, no. 4, pp. 53–56. URL: Link (In Russ.)
Bretscher L., Schmid L., Vedolin A. Interest Rate Risk Management in Uncertain Times. The Review of Financial Studies, 2018, vol. 31, iss. 8, pp. 3019–3060. URL: Link
Campbell J.L. The Fair Value of Cash Flow Hedges, Future Profitability, and Stock Returns. Contemporary Accounting Research, 2015, vol. 32, iss. 1, pp. 243–279. URL: Link
Carriere J.F. Valuation of the Early-Exercise Price for Options Using Simulations and Nonparametric Regression. Insurance: Mathematics and Economics, 1996, vol. 19, iss. 1, pp. 19–30. URL: Link00004-2
Hanzlík P., Teplý P. Prepayment Risk in Banking: Empirical Evidence from the Czech Republic. Springer Proceedings in Business and Economics. In: Procházka D. (ed.) Regulation of Finance and Accounting. Springer, 2022, pp. 109–128. URL: Link
