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ECONOMIC GROUNDS FOR CREDIT RISK MANAGEMENT UNDER UNCERTAINTY

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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.

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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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ISSN 2079-4665 (Print)
ISSN 2411-796X (Online)