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SM ISO690:2012 MULIC, Andrei, GAVLIȚCHI, Chiril. Econometric Model for the Formation of the Optimal Structure of the Portfolio of Government Securities of Commercial Banks in the Republic of Moldova. In: Balkan and Near Eastern Congress Series on Economics, Business and Management, Ed. 15, 29-30 mai 2021, Plovdiv. Plovdiv: University of agribusiness and rural development, 2021, Ediţia 15, pp. 42-49. ISBN 978-619-203-308-8. |
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Balkan and Near Eastern Congress Series on Economics, Business and Management Ediţia 15, 2021 |
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Congresul "XV. International Balkan and Near Eastern Social Sciences Congress Series on Economics, Business and Management" 15, Plovdiv, Bulgaria, 29-30 mai 2021 | ||||||
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JEL: C58, G11, G24 | ||||||
Pag. 42-49 | ||||||
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Actuality of the research topic is determined by the problems related to investments in government securities, namely, the formation of an optimal portfolio of government securities. State securities are one of the most attractive instruments both from the point of view of the issuer (government) and from the point of view of the investor. The aim and objectives of the research is to develop the economic and mathematical model for the formation of an optimal portfolio of government securities in the context of the existence of risk of default and alternative investment preferences. The methodological basis of the research was the works of domestic and foreign economists and practitioners dealing with the problems of government securities portfolio management and investment analysis. The most relevant obtained results from the research: taking into account the situation on the government securities market in the Republic of Moldova, special attention is paid to the risk of default, methods for assessing the risk of stopping the flow of payments have been developed. The analysis of the factors influencing the structure of the optimal portfolio was carried out, and the main parameters that most fully meet the goals of the investor were determined. On the basis of the investigated information, a model of the optimal portfolio structure was created. |
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Cuvinte-cheie investments, investment activity, state securities state securities market risks of bankruptcy (default) economic and mathematical model econometric model |
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