• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Article

Консолидация и агрегация оценок вероятности дефолта

Управление риском. 2012. Т. 61-63. № 1-3. С. 14-44.

There is a method of redusing to one estimate which is obtained by different methods of evaluations of the risk-neutral and real probabilities of default. There are two «engineering» methods of translation of risk-neutral probabilities in real with the use of the constraint equations. On the one hand calculations are carried out on real data on the financial statements of Russian banks and statistics of economic defaults but on the other hand calculations are carried out on pricing on ruble bonds for which the banks are issuers.