ECONOMIC GROUNDS FOR CREDIT RISK MANAGEMENT UNDER UNCERTAINTY

ECONOMIC GROUNDS FOR CREDIT RISK MANAGEMENT UNDER UNCERTAINTY

This article examines modern financial insurance techniques with the use of credit default swaps for covering bond default risk. The author examines several mathematical models and specifies variables necessary to determine the swap spread depending on the structure of a swap contract and conditions...

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Bibliographic Details
Main Author: N. V. Strelnikov
Format: Article
Language:Russian
Published: Nauka 2016-11-01
Series:Modernizaciâ, Innovaciâ, Razvitie
Subjects:
credit default swap
mathematical modeling
risk evaluation
solvency
risk management
insurance reserves
Online Access:https://www.mir-nayka.com/jour/article/view/521
Description
Summary:This article examines modern financial insurance techniques with the use of credit default swaps for covering bond default risk. The author examines several mathematical models and specifies variables necessary to determine the swap spread depending on the structure of a swap contract and conditions for a set-off. The author suggests implementing J. Hull’s risk model based on default probability and loss ratio estimates.
ISSN:2079-4665
2411-796X

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