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  • Принципы и перспективы конструирования структурных корзинных нот на кредитный риск российских эмитентов (подана в журнал)

Article

Принципы и перспективы конструирования структурных корзинных нот на кредитный риск российских эмитентов (подана в журнал)

Nowadays there are few researches which investigate the pricing methods for structured products which depend on several underlying assets and no researches devoted to this topic in the case of Russian market. The aim of this article is to estimate fair value of first-to-default structured notes based on Russian issuers CDS and to conclude is it possible to construct this type of notes under the conditions of Russian market. We construct 715 first-to-default notes and calculate its fair value. Besides, we estimate the return of notes compared to its risk using modified Sharp ratio. The article demonstrates the analysis of Russian CDS market and its perspectives as a source of underlying assets for first-to-default notes.