ECONOMIC GROUNDS FOR CREDIT RISK MANAGEMENT UNDER UNCERTAINTY
Abstract
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.
About the Author
N. V. Strelnikov
Moscow State Linguistic University
Russian Federation
Postgraduate, Faculty of Law and Economics
Russian Federation
Postgraduate, Faculty of Law and Economics
References
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Review
For citations:
Strelnikov N. ECONOMIC GROUNDS FOR CREDIT RISK MANAGEMENT UNDER UNCERTAINTY. MIR (Modernization. Innovation. Research). 2012;3(4(12)):131-135. (In Russ.)
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