There is a method of redusing to one estimate which is obtained by different methods of evaluations of the risk-neutral and real probabilities of default. There are two «engineering» methods of translation of risk-neutral probabilities in real with the use of the constraint equations. On the one hand calculations are carried out on real data on the financial statements of Russian banks and statistics of economic defaults but on the other hand calculations are carried out on pricing on ruble bonds for which the banks are issuers.
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.
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.
We discuss specific requirements to margining systems designed for central clearing for the credit default swap market. In particular, we analyze available market data eligible to be used in risk models for margining systems.
This paper is devoted to the analysis of organizational risks. Based on the analyzed approaches to organizational risks definitions and classifications, own definition and classification have been created. Besides, the review of qualitative and quantitative methods of risk assessment has been done and has shown that the majority of existing methods do not correspond to practical necessities and require further development.