Author:Bradul, Alexander


The experience of leading international companies convincingly proves that the stability of business development and improvement of management efficiency is impossible without the active use of a risk-based management system, as an integral part of an enterprise management system, regardless of its size and specifics of economic activity. The system of risk-based management, first of all, is aimed at achieving the necessary balance between making profits and reducing business losses, and should be integrated into the general policy of the enterprise, its business plans and activities, which, in turn, will ensure the effectiveness of such management system.


The beginning of the development of modern risk management techniques was the introduction of quantitative risk determination, which was developed in the early 1980s by S. Kaplan and B. Garrik (Probabilistic risk assessment procedures guide for NASA managers and practitioners, Washington (USA) (2002)). In their opinion, the risk consisted of three parts: a description of the situation, the likelihood of this situation and its consequences, which may be different for the same situation (Kullman et al., 2018).

We can identify the main factors that demonstrate the effectiveness of the implementation of the risk management of economic activities (Baum et al., 2017): 1) integration of risk assessment into strategic and operational processes, and, for which reason, managers of companies make the most informed decisions; 2) implementation of the most effective analytical technologies. Determination of possible risks at an earlier stage contributes to making more efficient and correct decisions, thereby reducing the likelihood of risks occurrence; 3) it is possible to measure and monitor certain types of risks, which greatly simplifies the risk management process; 4) reduction in the number of negative events compared to the industry average; 5) increase in the value of shares by reducing the cost of raising capital (Van Grembergen & De Haes, 2018).

Today there are a number of professional organizations that develop international standards in the field of risk management of business entities. These standards include: A Risk Management Standard (2002); Enterprise Risk Management-Integrated Framework (ERM) (2004); Basel II: International convergence of capital measurement and capital standards: A revised framework (2004); A Guide to the Project Management Body of Knowledge (PMBOK) (2004); ISO 31000:2009 "Risk management-Principles and guide lines'" (2009).


It is necessary to pay attention that there is no and there cannot be a unified approach to risk management in an enterprise, caused by the presence of a specification of activities of business entities in each separate sector of the economy. For example, enterprises of the machine-building complex may be affected by the following specific risk factors: the unique nature of the product (individual production); investment intensity; integration (complexity) of technical means; changing forms of conditions and contracts; responsibility for manufactured products during the warranty period etc.

Regarding the assessment of the likelihood of risks and their magnitude, today in science and international risk management standards there is a significant number of different methods, among which the most common is the market value method (VaR), which shows the maximum damage a business entity is willing to bear at a certain point in time with a given probability.

Today, in order to calculate the probable risk in practice we use several methods of the market value method (VaR): the method of historical modeling ("delta normal"., "manual method"); the parametric model method (variational covariance model) and the statistical simulation modeling using the Monte Carlo VaR method (Salomone et al., 2017).

Use of the historical model to determine the future risk is impossible due to the fact that the business entity did not have similar types of risks as a result of past events.

The basis of the parametric model is the assumption that the actual distribution of the random variable corresponds to a certain theoretical pattern. Accordingly, conclusions...

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