RISK ASSESSMENT OF DEBT FINANCIAL INSTRUMENTS USING CREDITMETRICS METHODOLOGY

Abstract

In the article, credit risk assessment metric of a debt financial instrument, in particular a corporate eurobond, is studied within the framework of the relevance of risk assessment in the financial sector due to the dangers and complexities of time. JSCMB ‘Ipoteka-Bank’, operating in the banking sector, which is considered an important link of the financial sector of our country, was selected as the object of analysis. As input data for the analysis, statistical data of the bank provided in official open sources, in particular, data on Eurobonds issued and placed by the bank, are used. At the same time, global benchmarking data published by rating agencies, in particular Standard&Poor's rating agency, is widely used as part of the methodology requirement. According to the methodology, credit risk assessment analysis was performed following a strict calculation algorithm for debt instrument risk assessment. The calculation of credit risk assessment of Eurobond according to this procedure is also reflected in the article.