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Article

Российские рынки кредитных дефолтных свопов и облигаций: сравнительный анализ времени реакции на поступление релевантной информации

Тарасова П. В.

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.