Research/Technical Note
Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan
Mirzayeva Fotima Mirrakhimzhonovna*
,
Zokirzhonov Mukhammadsodiq Ravshanbek Ugli
Issue:
Volume 9, Issue 4, December 2024
Pages:
124-130
Received:
17 March 2024
Accepted:
10 July 2024
Published:
10 October 2024
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. Joint-Stock Commercial Mortgage Bank ‘Ipoteka-Bank’, operating in the banking sector of the Republic of Uzbekistan, which is considered one of the important links of the financial sector of the Republic, was selected as the object of analysis. As input data for the analysis, statistical data of the bank provided in its official web-site’s open sources, in particular, data on Eurobonds issued and placed by the bank in London Stock Exchange, are used. At the same time, one of the advantages of the research is the described and disclosed in details and widely used global benchmarking data, published by Standard&Poor's rating agency, as part of the methodology requirement. According to the methodology, credit risk assessment analysis was performed following a strict and detailed calculation algorithm for debt instrument risk assessment. The calculation of credit risk assessment of one debt instrument, especially the Eurobond, according to this procedure followed with the authors’ discussion, conclusion and recommendation is also reflected in the article.
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. Joint-Stock Commercial Mortgage Bank ‘Ipoteka-Bank’, operating in the banking sector of the Republi...
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