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Debt Portfolio Management for an Oil Company Under Oil Price Uncertainty

Author

Listed:
  • Vladimir Korotin

    (JSC NK “RussNeft”)

  • Arseniy Ulchenkov

    (JSC NK “RussNeft”)

  • Rustam Islamov

    (International Centre for Nuclear Safety)

Abstract

The issue of discovering an optimal debt portfolio in case of oil company under oil price uncertainty is considered in the paper. New algorithm to build optimal debt structure is proposed. It is shown that optimal portfolio reduces financial risk in case of oil price uncertainty. Non-parametric approximation is used to describe functional relationship between US dollar and Russian ruble, considered as commodity currency.

Suggested Citation

  • Vladimir Korotin & Arseniy Ulchenkov & Rustam Islamov, 2017. "Debt Portfolio Management for an Oil Company Under Oil Price Uncertainty," Computational Economics, Springer;Society for Computational Economics, vol. 49(2), pages 289-306, February.
    • Handle: RePEc:kap:compec:v:49:y:2017:i:2:d:10.1007_s10614-015-9555-y
    DOI: 10.1007/s10614-015-9555-y
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    References listed on IDEAS

    as
    1. Patrick Bolton & David S Scharfstein, 1993. "Optimal Debt Structure with Multiple Creditors," CEPR Financial Markets Paper 0032, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX..
    2. Kurt Marti, 2005. "Stochastic Optimization Methods," Springer Books, Springer, number 978-3-540-26848-2, September.
    3. Ernst-Ludwig von Thadden & Erik Berglöf & Gérard Roland, 2010. "The Design of Corporate Debt Structure and Bankruptcy," The Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2648-2679, July.
    4. Barclay, Michael J & Smith, Clifford W, Jr, 1995. "The Maturity Structure of Corporate Debt," Journal of Finance, American Finance Association, vol. 50(2), pages 609-631, June.
    5. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    6. Bolton, Patrick & Scharfstein, David S, 1996. "Optimal Debt Structure and the Number of Creditors," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 1-25, February.
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    Citations

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    Cited by:

    1. Narayan, Paresh Kumar & Nasiri, Maryam Akbari, 2020. "Understanding corporate debt from the oil market perspective," Energy Economics, Elsevier, vol. 92(C).
    2. Endri Endri & M. Iqbal Rasyid Supeni & Yanti Budiasih & Matdio Siahaan & A. Razak & Sudjono Sudjono, 2021. "Oil Price and Leverage for Mining Sector Companies in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 24-30.
    3. Balli, Faruk & O Balli, Hatice & Nguyen, Thi Thu Ha, 2023. "Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?," Journal of Commodity Markets, Elsevier, vol. 31(C).
    4. Sarker, Md Showaib Rahman & Mazumder, Sharif & Amin, Md Ruhul, 2023. "Oil price uncertainty, workplace misconduct, and cash holding," International Review of Financial Analysis, Elsevier, vol. 89(C).
    5. Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.

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