Record Details

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Global Markets and Financial Engineering

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Field Value
 
Title .
Evaluation of the Credit Default Swap for Russian Commercial Banks
 
Creator Ageev V...; Lomonosov MSU
 
Subject .
risk management; models of credit risk assessment; default; financial derivative; credit default swap; solvency
 
Description .
The article continues the author’s previous publication “The applicability of CDS for assessing the solvency of financial institutions in the Russian Federation” concerning the usage of Credit Default Swaps (CDS)  for evaluation of counterparty risk by Russian financial institutions and companies. In the present article, the author develops a model for evaluation of theoretical values of CDS spreads for banks in the group of developing countries BRICS, CDSs on the debt of which are not traded in the market. This model is based on daily changes in the spread of sovereign CDS, indicators of bank financial reports and variables that characterize certain features of analyzed banks. The obtained CDS spreads are compared with their real values for the banks, CDSs on the debt of which exist. Possible options for the usage of obtained theoretical CDS spreads are reviewed for evaluation of the chance of default of Russian financial institutions’ and companies’ counterparties.
 
Publisher Creative Economy Publishers LLC
 
Contributor —
—
 
Date 2015-11-17
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Отрецензированная статья
 
Identifier http://journals.creativeconomy.ru/index.php/gmfe/article/view/2058
10.18334/gmfe.2.3.2058
 
Source Global Markets and Financial Engineering; Том 2, № 3 (2015)
Global Markets and Financial Engineering; Том 2, № 3 (2015)
2412-978X
10.18334/gmfe.2.3
 
Language en
 
Rights © авторы / Creative Economy Publishers, 2015
http://creativecommons.org/licenses/by-nc-nd/4.0