Abstract
The article discusses empirical calculations of sustainable development and volatility of derivative financial instruments in the banking system. The methodical approach to forecasting the index of the first stock trading system (FSTS) for sustainable market development is presented, considering the lack of normal distribution of financial resources in the banking system. It is substantiated that when choosing the volatility model and setting the option price, it is important to consider the theoretical generality and composition of the volatility structure, which is able to effectively and accurately estimate the parameters. It is proved that the rate of average volatility variable for modeling, analysis and stable assessment of important market parameters (i.e., local volatility) is determined using the moments of past periods. The real and forecast value of FSTS volatility at different values of the model parameter is developed. A model of implied volatility for the FSTS index is built. It is substantiated that the formulation of stable market development of derivative financial instruments takes into account all its semantic and financial features of resisting the influence of external and internal factors (shocks, imbalances) and maintaining dynamic equilibrium to ensure parameters of the entire financial system needed to form positive feedback between financial and real sector of the economy. The ratio of world GDP and the nominal value of derivative financial instruments were estimated. Maps of the market value of over-the-counter DFI, gross risk exposure in the over-the-counter DFI market and the nominal value of exchange-traded PFI are presented. The factor models of influence on the development of the exchange-traded and over-the-counter PFI market of world and national levels are constructed.
Highlights
The intensification of globalization processes, the acceleration of capital flows, and the deepening of crisis phenomena increase the need to taking into the account the development of derivative financial instruments in the global financial architecture
The dynamic development of innovative financial instruments is complex, which is determined by external factors arising from the imperfection of stock markets and the turbulence of the macroeconomic environment, and internal factors, the source of which is the need for stock market participants to create instruments that will mitigate the risks, increase profits and its competitiveness
The priority of this study is the implementation of empirical calculations of volatility of derivative financial instruments based on the model of forecasting the index of the first stock trading system (FSTS) for sustainable market development, given the lack of normal distribution of financial resources in the banking system
Summary
The intensification of globalization processes, the acceleration of capital flows, and the deepening of crisis phenomena increase the need to taking into the account the development of derivative financial instruments in the global financial architecture. The extent and depth of the recession in the financial sector confirms the possibility of crises in the derivatives market and demonstrates the need to monitor its condition to stop the spread of the chain “infection effect” of the banking system in the international financial space. Opportunities for stock market participants, and can determine the volume and diversity of their financial transactions with extrapolation to economic growth and welfare of some countries Their complex, multilevel and risky use, in the absence of appropriate rules and control by regulators at the national and international levels, leads to increased turbulence in financial markets. The priority of this study is the implementation of empirical calculations of volatility of derivative financial instruments based on the model of forecasting the index of the first stock trading system (FSTS) for sustainable market development, given the lack of normal distribution of financial resources in the banking system
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