Evaluation of the Credit Default Swap for Russian Commercial Banks
Ageev V...1
1 Lomonosov MSU
Статья в журнале
Global Markets and Financial Engineering ()
Аннотация:
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.
Ключевые слова: risk management, default, credit default swap, solvency, models of credit risk assessment, financial derivative
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