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Метод оценки рисков российских корпоративных облигаций. Var for short-term data securities portfolio

Author

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  • Кадников А. А.

    (Новосибирский государственный университет)

Abstract

В статье представлен метод эконометрической оценки параметров рыночного обращения корпоративных облигаций. Исследованы закономерности ценообразования российских облигаций в их взаимосвязи с финансовыми рисками. Приведенный алгоритм возможен к применению финансовыми организациями для анализа риска портфеля ценных бумаг и формирования соответствующих резервов на покрытие рисков. The article introduces a method of econometric estimation of parameters of the market trading of corporate bonds and a mechanism of pricing Russian bonds with their attitude to financial risk. The algorithm is possible to use for financial institutions to analyze the risk of portfolio of securities and making provisions.

Suggested Citation

  • Кадников А. А., 2011. "Метод оценки рисков российских корпоративных облигаций. Var for short-term data securities portfolio," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, vol. 11(2), pages 111-117.
    • Handle: RePEc:scn:guhrje:2011_2_12
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