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Экономические Основы Управления Кредитным Риском В Условиях Неопределенности

Author

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  • Стрельников Н. В.

    (МГЛУ)

Abstract

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.

Suggested Citation

  • Стрельников Н. В., 2012. "Экономические Основы Управления Кредитным Риском В Условиях Неопределенности," Modernization. Innovation. Research МИР (Модернизация. Инновации. Развитие), CyberLeninka;Общество с ограниченной ответственностью Издательский Дом «Наука», issue 12, pages 131-135.
    • Handle: RePEc:scn:028891:15292284
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