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Approaches, Instruments of Creation and Risk Assessment of Structured Products.

Student: Kochenov Chermen

Supervisor: Sergey V. Kurochkin

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2017

Nowadays, structured financial products are raising their popularity in the Russian market. This research paper provides a brief overview of the most popular offers in the domestic market, we give describes of the potential objectives pursued by investors in their use, raise the issue of the negative component of these products. Most of the work is devoted to structured products known as basket credit-linked notes, in particular one of the types of this product - first-to-default note. An empirical analysis of the real Russian structured product of the FTD type was carried out by comparing its characteristics with the characteristics of the portfolio consisting of the same bonds that form the product. For the analysis of the product, a model of Gaussian copula was used, this model allows fixing changes in the characteristics of the product based on the changes in the level of defaults correlation of bonds forming the product. Eventually, we present the results of comparison obtained with the help of the model are described,

Full text (added May 11, 2017)

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