Определение маржинальных требований при централизованном клиринге сделок кредитного дефолтного свопа

Курбангалеев Марат Зуфарович

Working paper

Определение маржинальных требований при централизованном клиринге сделок кредитного дефолтного свопа

Финансовая инженерия, риск-менеджмент и актуарная наука. WP16. Высшая школа экономики, 2012. № 01.

This paper discusses the major requirements to margin requirements systems in the credit default swap market. It also presents the approach to initial margin calculation which is consistent with the majority of documented requirements. The approach is based on application of structural models of credit risk and uses information on a reference entity’s stocks. Finally, the performance of presented approach is tested by its application to the initial margin setting for the Gazprom CDS.

Research target: Economics and Management (including Public Administration)

Priority areas: economics

Language: Russian

Full text (PDF, 1.50 Mb)

Keywords: Credit default swaps central counterparty margin requirements risk exposure stochastic volatility model structural models of credit risk

Modelling CDS price dynamics for determination of margin requirements

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