Идентификация несогласованности котировок облигаций и контрактов CDS с трансформацией данных, обеспечивающей корректность
The classical and synthetic securitizations and their historical development from the moment of their origin are observed in the article. The main instruments of securitization, their circuit engineering and main basic assets are described. In addition the global financial crisis, its development and preconditions are observed. The role the instruments of securitization and the contractor risk of the credit default swap deals role in the crisis is shown. Some ways of a quantitative assessment of the contractor risk and the factors which intensify its impact on the system of finance and the main methods of the risk management are described.
Problem of assessing the credit risk, including the simultaneous analysis of the bond and credit default swap markets is relevant especially in connection with the recent crisis. Informational efficiency of two markets is different, so it is quite important to determine which market leads the other, and which only adjusts to the changes. This article analyzes the existing models to detect the market going ahead in terms of price discovery. The recommendations regarding the applicability of models for credit risk estimation are suggesting.
This article investigates the behavior of the Russian government bond yields and its sensitivity to a selected range of macroeconomic, monetary, international and event factors. The analysis concerns both individual and joint, short-term and long-term influence of factors under study, with emphasis to the most informative determinants of yields. In whole the results of the empirical study using monthly data from 2003 to 2009 indicate a major significant role of changes in monetary factors, notably the minimum repo rate and the interbank interest rate, as well as of foreign exchange rate risk factor. Joint influence of theoretical fundamentals, namely inflation and its expectations, exchange rate and money supply growth, explain less than a third of bond yields movements. On the other hand, no importance of GDP and domestic debt growth as well as of external risk factors, such as oil prices, foreign interest rates and changes in international reserves is found. Also the results provide evidence for the fact that most government bond yields respond to certain political and economic events and reflect crisis changes of the market.
Modern Greece in the Global Economy and Politics. This publication is based on the results of IMEMO's research project on South European debt crisis which were presented at the conference “Economic and political situation in Greece: local and global aspects”, attended by experts from IMEMO as well as Lomonosov Moscow State University, Institute of Europe RAS, Institute of Universal History RAS, Centre for Situation Analysis RAS, Russian Institute of Strategic Research and other research centers. The study covers various aspects of the ongoing debt crisis in Greece and its impact on global economy, the possible application of Greek-type anticrisis policy to other EU countries. Special attention is given to Greece’s political developments, the current state and prospects for Russian-Greek relations.
Today no one is surprised by the words traditional securitization. In the article an author considers one type of securitization, synthetic one. Without dwelling on the basic structures and concepts, the article describes the most interesting structure of synthetic securitization.
synthetic securitization, reference portfolio, pool of assets, structure of the transaction, Synthetic structure, Credit default swaps, credit protection, Tranche, Subordination, Credit enhancement
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.