mirМИР (Модернизация. Инновации. Развитие)MIR (Modernization. Innovation. Research)2079-46652411-796XSchool of Public Administrationmir-521Research ArticleРАЗВИТИЕRESEARCHЭКОНОМИЧЕСКИЕ ОСНОВЫ УПРАВЛЕНИЯ КРЕДИТНЫМ РИСКОМ В УСЛОВИЯХ НЕОПРЕДЕЛЕННОСТИECONOMIC GROUNDS FOR CREDIT RISK MANAGEMENT UNDER UNCERTAINTYСтрельниковН. В.StrelnikovN. V.

аспирант

Postgraduate, Faculty of Law and Economics

nikorai@hotmail.co.jpМГЛУРоссияMoscow State Linguistic UniversityRussian Federation20122212201234(12)131135Copyright © Стрельников Н., 20162016Стрельников Н.Strelnikov N.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://www.mir-nayka.com/jour/article/view/521

В статье исследуются современные способы страхования кредитных рисков с использованием свопов кредитного дефолта. Рассмотрен механизм действия кредитных свопов, определены параметры расчета их стоимости. Проанализирован ряд эффективных методов математического моделирования риска. На основе модели Дж. Халла предложен метод расчета спреда свопа,величина которого зависит от вероятности дефолта и коэффициента убыточности облигации.

This article examines modern financial insurance techniques with the use of credit default swaps for covering bond default risk. The author examines several mathematical models and specifies variables necessary to determine the swap spread depending on the structure of a swap contract and conditions for a set-off. The author suggests implementing J. Hull’s risk model based on default probability and loss ratio estimates.

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The authors declare that there are no conflicts of interest present.