Методика оценки величины премии за риск ликвидности облигации на основе данных о CDS
Annotation: Problem of assessing the liquidity risk premium for bonds is actual in connection with recent crisis. In article is analyzing possible approaches for estimation of liquidity risk premium for bonds used information of market credit derivative finance instruments such as quotes of Credit Default Swaps (CDS). Critical analysis of models of credit risk necessary for description liquidity of instruments also is made. Recommendations for using one or another approach on practice and for Russian conditions too were also given. A new alternative approach for assessing the liquidity risk premium for bonds is 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.
Substantial growth in the volume of transactions carried out by the payment systems in recent years aggravates lack of liquid funds for participants of the payment process, that in turn leads to increase of systemic risk that may cause a deterioration of functioning of banking system and financial markets of the country. This paper considers the key types of liquidity regulation methods in large-value payment systems, as well as their role in their further development. Special attention is paid to the central bank measures to supply participants of payments with additional liquidity to insure smooth payment processing. Our cross-country econometric study shows that central bank credits have a significant influence on the growth of payment systems operations. These results are consistent with the relevant findings of some foreign authors.
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.