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.