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The applicability of CDS for assessing the solvency of financial institutions in the Russian Federation

Global Markets and Financial Engineering

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Title The applicability of CDS for assessing the solvency of financial institutions in the Russian Federation
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Creator Ageev V...; Lomonosov Moscow State University
 
Subject risk management; credit risk assessment models; default; derivative; credit default swap; solvency
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Description Quantitative risk measurement is an important part of the process of risk management at commercial banks. Over the last few years, counterparty risk has become one of the most significant factors influencing financial markets. An important aspect in counterparty risk assessment is using estimated spreads of credit default swaps (CDS) for one’s counterparties.This article considers the possibility of using CDSes for assessing the solvency of financial institutions in Russia. It also provides the definition of CDS and describes the characteristic features of the Russian CDS market.
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Publisher Creative Economy Publishers LLC
 
Contributor —
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Date 2015-03-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Отрецензированная статья
 
Format application/pdf
text/html
 
Identifier http://journals.creativeconomy.ru/index.php/gmfe/article/view/469
10.18334/gmfe.2.1.469
 
Source Global Markets and Financial Engineering; Том 2, № 1 (2015); 55-70
Global Markets and Financial Engineering; Том 2, № 1 (2015); 55-70
2412-978X
10.18334/gmfe.2.1
 
Language rus
 
Relation http://journals.creativeconomy.ru/index.php/gmfe/article/view/469/1814
http://journals.creativeconomy.ru/index.php/gmfe/article/view/469/1815
 
Rights © авторы / Creative Economy Publishers, 2015
http://creativecommons.org/licenses/by-nc-nd/4.0