Кредитные свопы и базис между кредитными свопами и облигациями для российских компаний: обзор и анализ влияния запрета на короткие продажи
This paper reviews the theory of Credit Default Swaps (CDS), the main characteristics of the CDS market, and how to estimate the non-default component of the yield spreads as the basis between the actual CDS premium and the hypothetical CDS premium implied by bond yields. We then analyze the most liquid CDS on Russian companies and compute the relative CDS-Bond basis from 2005 till 2010, paying particular attention to the period when a short selling ban was into effect in Russian financial markets from September 18, 2008 till June 15, 2009. We found that, while the basis was mainly negative before the ban, it then became largely positive during the period the ban was enforced. After the ban was lifted, the basis has started to decrease but still remains positive for all companies examined. This evidence therefore seems to support the hypothesis that a positive basis can be justified by the difficulty of arbitrage caused by short selling costs
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.
In this book we study innovations for the middle of the pyramid, focusing on the experience of middle income countries in Latin America. This middle income segment, which is middle by the standards of emerging markets although low by the standards of advanced economies, has grown steadily in the last few decades and has become an attractive segment for firms to serve. These middle income countries in Latin America are a laboratory for understanding this phenomenon because despite being emerging countries, they have a large middle income segment that provide attractive and different opportunities, similarly to other regions like Eastern Europe or the Middle East. Additionally, by focusing on a region that has a common political, social and economic history we are able to draw cross-country conclusions more easily, while at the same time benefit from a variety of experiences and innovations that have appeared in multiple countries.
The book is based on case studies and examples of firms that have created innovations for the middle of the pyramid. The cases are detailed analyses of exemplar firms that have introduce innovations to address some of the most intractable challenges of emerging markets and that have been successful at creating a business proposition of something that was commonly addressed by the government or by non-for-profit organizations. The examples are presented within a general framework that provides detailed statistics of the challenge to help explain how the challenge can nevertheless become a large business opportunity for some entrepreneurial managers.
The book can provide useful and new insights to managers of both emerging economies who want to serve their growing middle classes that until recently were being served in the informal economy, as well as to managers of multinationals from advanced countries who may find that the growing middle classes in emerging economies are a profitable and expanding market segment to serve.
The capacity for transformation and advancement of the world economy itself by a group of countries belonging to the emerging economies has been a topic of intense discussion in world forums. Even as news of the losing shimmer of the emerging economies is being spilled to the world, this is where 80% of the world consumers reside, and, therefore, too important to divert attention from. The theme of the 2014 Annual Conference of the Emerging Marketing Conference Board hosted by Centre for Marketing in Emerging Economies of IIM Lucknow, supported by the Academy of Indian Marketing – Listening to Consumers of Emerging Markets is an eminent testimony to this important fact.
JAGDISH N SHETH, PHD
Emory University Founder, Academy of Indian Marketing
As there is still no substantial research evidence on the mediating effect of innovativeness on market orientation – performance link in emerging economies, our study aims to close this gap. Following existing theory, direct and indirect effects of market orientation on firm performance are being tested. The model includes moderating effect of product innovativeness. The paper aims at adding to existing theory on the role of firm innovativeness in driving firm performance with the focus on product innovation. Product innovation is in center of attention for emerging economies, while Russia is rather loosing positions in producing innovative offerings in comparison to other BRIC economies. The study is based on empirical survey of 204 Russian innovative firms with multiple respondents approach, resulting in 331 qualified respondents. The results confirm existing differences, depending on the level of product innovativeness, as well as illustrate variation in the role of market orientation subdimensions and dimensions of product innovation on firm performance.
The chapter describes the current state of corporate governance in Russia and the dynamics of recent years. Important features of the environment that affect corporate governance include weak legal institutions that lead to high private benefits to control, underdeveloped capital markets, high levels of ownership concentration and significant state involvement in business. In this situation, the main conflict of interest is not between a manager and a large number of dispersed shareholders, but between large and small shareholders, between different large shareholders, and between minority shareholders and managers/board members in state-owned companies. Many of these features are very similar to other emerging markets, but substantially different from conditions faced by firms in developed countries. Despite substantial improvement during the 2000s, the quality of corporate governance in Russia is still much lower than in developed countries, primarily because of the low quality of Russian institutions.
In textbook the main issues connected with organization of credit analysis in a commercial bank were considered. The role of credit analysis in risk management system is shown. The methodology and specific methods for assessing the creditworthiness of borrowers used by banks are set out by complex approach. The textbook includes international recommendations for introduction of internal credit risk assessment systems in banks. With the aim at presenting the material examples from the practice of commercial banks, analytical tables, diagrams and figures were used.
This article evaluates the peculiarities of current corporate ratings systems and addresses specific issues of the development of econometrical rating models for emerging market enterprises. Financial indicators, market-value appraisals, industrial as well as macroeconomic factors of different countries were used as explanatory variables. Ratings of the Standard & Poor's, Moody's Investors Service and Fitch Ratings agencies were considered and used for modelling. The predictive power of the econometrical models was examined. A comparison of the methodologies of the three leading agencies was discussed.