APPLYING THE MODEL OF OPTION PRICING BLACK-SCHOLES THE MARKET VALUE OF COMMERCIAL BANK
The relevance of this study is that the classical methods, most often used to assess the value of the company, are not able to fully take into account all market factors. The valuation of a commercial Bank differs from the valuation of an ordinary company, since the banking business has a number of features specific only to it. These include: strict regulation by the state, the need for the formation of mandatory reserves and compliance with the Bank of Russia, a high proportion of intangible assets, borrowed funds in the balance sheet currency (from 85%), the complexity of liquidity management, increased risk of activity, and the heterogeneity of their cash flows. According to the method of options, the value of the Bank can be represented as the cost of a call option to buy. This method has a number of advantages: it takes into account the expectations of investors and the dynamics of the company's development, relies more on the calculated indicators, so it is perfect for using computer power. The application of this method on the example of the Russian Bank and the method of adjusting the statistical parameters of evaluation are shown.