CDS Valuation Models and their Application on the Russian Market

The presented Master's dissertation includes investigation of credit default swaps (CDS) valuation models. The CDS are trade in Russian market rare. In the information terminal Bloomberg there are only fourteen Russian companies on which it is possible to trade CDS. If company does not have the quotes of CDS it is needed to conduct the independent CDS valuation. Because of the Russian market is undeveloped the searching valuation models is really important. Searching of these models is relevance of the research. Purpose of this study concludes in the searching valuation model which will give the most accurate results. In the estimation of the cost of a swap the general component is a probability of default in concrete of time. According to the general component of the cost of the swap the general issue is an investigation the models valuation of probability defaults and the next realizing on real data of Russian companies. In addition were realized the next issues: the identification of a trends on world and Russian markets, the studying of the approach valuation cost of the default, the valuation CDS based on probabilities of default, the analysis of results. The scientific novelty of the work consists in application models which have not used before in Russian market. One of them give the most accurate results for Russian market. This model was recommended for using with some restrictions. The work includes 51 pages, 3 chapters, 2 diagrams, 18 graphics, 7 tables, 18 sources.