Российские рынки кредитных дефолтных свопов и облигаций: сравнительный анализ времени реакции на поступление релевантной информации
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 paper reviews difficulties concerning a development of single-name CDS price (spread) dynamics model for the purpose of determination of margin requirements. It also discusses a possibility to construct such a model using information about respective equity prices and option implied volatilities. Finally, it presents the basic step towards the former idea demonstrating results for the CDS written on Gazprom senior debt.
The paper presents a review of stochastic framework for term structure modeling and shows comparative advantages of commonly used techniques. The main application of the research is coherent modeling of credit and interest rate risk for Euro zone issuers.
The study estimates the impact of collateral determinants, so as collateral requirements, targeted on loan- to-value (LTV ratio), on credit risk of bank corporate loans. The approach presented focused, on the one hand, on tests of the prevalence of so-called the Ex Post and Ex Ante theories of collateral in banking. And the ability of collateral determinants, LTV ratio in particular, as tools of credit risk management to predict and evaluate lenders’ overconfidence, on the other. That is a novelty of collateral controlling and credit risk management in Russian banking.
Features of assets and property rights pledged for bank loans in Russia are also analyzed. The research is based on econometric methods, linear regressions, and binary models. The prevalence of Ex Post theory for collateral has been proved for Russian bank corporate loans. The higher credit risks, the higher banks’ collateral requirements to pledge corporate loans. This evidence corresponds Russian bank experience to international practical overview.
Moreover, banks studied depict strong preferences in collateral types alongside the credit risk management, presenting the importance of financial behavior studies in banking. Empirical results of the research inspire to continue indicating probability-of-default for corporate loans, based on behavioral aspects of banks’ collateral requirements, and lenders’ preference in collateral types and features.
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
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.