Estimating Risk of Debt Instruments Using the CreditMetrics<SUP>TM</SUP> Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan

Mirzayeva Fotima Mirrakhimzhonovna; Zokirzhonov Mukhammadsodiq Ravshanbek Ugli

doi:doi:10.11648/j.ijafrm.20240904.11

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Estimating Risk of Debt Instruments Using the CreditMetrics^TM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan

Mirzayeva Fotima Mirrakhimzhonovna^*

, Zokirzhonov Mukhammadsodiq Ravshanbek Ugli

Published in International Journal of Accounting, Finance and Risk Management (Volume 9, Issue 4)

Received: 17 March 2024 Accepted: 10 July 2024 Published: 10 October 2024

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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.

Published in	International Journal of Accounting, Finance and Risk Management (Volume 9, Issue 4)
DOI	10.11648/j.ijafrm.20240904.11
Page(s)	124-130
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

CreditMetrics, Credit Rating Migration, Default Recovery Rate, Rating Quality, Discount Rate, Variance, Standard Deviation

References

[1]	Gupton G. M., Finger C. C., Bhatia M. (1997). CreditMetrics – Technical Document. USA: JPMorgan. P.-66.
[2]	JPMorgan & Co. (2007). CreditMetrics™ – Technical Document Copyright©. USA: RiskMetrics Group, Inc. P.-5.
[3]	Krichevsky M. L. (2013). Financial risks: textbook (2nd edition). Moscow: KNORUS. P.-102.
[4]	Lobanov A. A. et al. (2003) Encyclopedia of financial risk management. Moscow: Alpina publisher. pp - 795. ISBN 5-94599-098-1. P.-393.
[5]	Aris E. T. (2017). THE MODELS OF CREDIT RISK ASSESSMENT. Issues of Risk Analysis, Vol. 14, No. 4. 68-75 ISSN 1812-5220 P.-71.
[6]	Ursulenko A. V. (November 2010). Basel 2: Features of credit risk modeling. All-Russian Journal of Scientific Publications, P.-72.
[7]	Fredrik Andersson, et al.. (2001). Credit risk optimization with conditional value-at-risk criterion. Mathematical Programming, 89(2), 273-291. https://doi.org/10.1007/PL00011399 P.-278.
[8]	Dean Fantazzini. (2009). Econometric analysis of financial data in risk management problems. Part 4: Credit Risk Management (continued). Applied econometrics. No. 1(13), pp. 105-138. P.-105.
[9]	Mirzayeva F. M., Zokirzhonov M. R. (2019). Innovative methodology of risk assessment. Innovations in economy. No. 5. Pp. 27-39 http://dx.doi.org/10.26739/2181-9491-2019-5
[10]	Mirzayeva F. M., Zokirzhonov M. R. (2023). Practice of Risk Assessment of Debt Financial Instruments Using CreditMetrics Methodology. Economics and Education, No. 5. pp: 247-255. https://doi.org/10.55439/ECED/vol24_iss5/a40

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Mirrakhimzhonovna, M. F., Ugli, Z. M. R. (2024). Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan. International Journal of Accounting, Finance and Risk Management, 9(4), 124-130. https://doi.org/10.11648/j.ijafrm.20240904.11

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ACS Style

Mirrakhimzhonovna, M. F.; Ugli, Z. M. R. Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan. Int. J. Account. Finance Risk Manag. 2024, 9(4), 124-130. doi: 10.11648/j.ijafrm.20240904.11

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Mirrakhimzhonovna MF, Ugli ZMR. Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan. Int J Account Finance Risk Manag. 2024;9(4):124-130. doi: 10.11648/j.ijafrm.20240904.11

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@article{10.11648/j.ijafrm.20240904.11,
  author = {Mirzayeva Fotima Mirrakhimzhonovna and Zokirzhonov Mukhammadsodiq Ravshanbek Ugli},
  title = {Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan
},
  journal = {International Journal of Accounting, Finance and Risk Management},
  volume = {9},
  number = {4},
  pages = {124-130},
  doi = {10.11648/j.ijafrm.20240904.11},
  url = {https://doi.org/10.11648/j.ijafrm.20240904.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijafrm.20240904.11},
  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.
},
 year = {2024}
}

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TY  - JOUR
T1  - Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan

AU  - Mirzayeva Fotima Mirrakhimzhonovna
AU  - Zokirzhonov Mukhammadsodiq Ravshanbek Ugli
Y1  - 2024/10/10
PY  - 2024
N1  - https://doi.org/10.11648/j.ijafrm.20240904.11
DO  - 10.11648/j.ijafrm.20240904.11
T2  - International Journal of Accounting, Finance and Risk Management
JF  - International Journal of Accounting, Finance and Risk Management
JO  - International Journal of Accounting, Finance and Risk Management
SP  - 124
EP  - 130
PB  - Science Publishing Group
SN  - 2578-9376
UR  - https://doi.org/10.11648/j.ijafrm.20240904.11
AB  - 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.

VL  - 9
IS  - 4
ER  -

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Author Information

Mirzayeva Fotima Mirrakhimzhonovna

Scientific Research and Innovation, Tashkent State University of Economics, Tashkent, Uzbekistan

Contact Email

http://orcid.org/0009-0009-1354-8298
Zokirzhonov Mukhammadsodiq Ravshanbek Ugli

Regional economy, Tashkent State University of Economics, Tashkent, Uzbekistan

Contact Email

http://orcid.org/0009-0005-7864-3473

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Plain Text BibTeX RIS

APA Style

Mirrakhimzhonovna, M. F., Ugli, Z. M. R. (2024). Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan. International Journal of Accounting, Finance and Risk Management, 9(4), 124-130. https://doi.org/10.11648/j.ijafrm.20240904.11

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ACS Style

Mirrakhimzhonovna, M. F.; Ugli, Z. M. R. Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan. Int. J. Account. Finance Risk Manag. 2024, 9(4), 124-130. doi: 10.11648/j.ijafrm.20240904.11

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AMA Style

Mirrakhimzhonovna MF, Ugli ZMR. Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan. Int J Account Finance Risk Manag. 2024;9(4):124-130. doi: 10.11648/j.ijafrm.20240904.11

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@article{10.11648/j.ijafrm.20240904.11,
  author = {Mirzayeva Fotima Mirrakhimzhonovna and Zokirzhonov Mukhammadsodiq Ravshanbek Ugli},
  title = {Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan
},
  journal = {International Journal of Accounting, Finance and Risk Management},
  volume = {9},
  number = {4},
  pages = {124-130},
  doi = {10.11648/j.ijafrm.20240904.11},
  url = {https://doi.org/10.11648/j.ijafrm.20240904.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijafrm.20240904.11},
  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.
},
 year = {2024}
}

Copy | Download

TY  - JOUR
T1  - Estimating Risk of Debt Instruments Using the CreditMetricsTM Method: On the Example of JSCMB ‘Ipoteka-Bank’, Uzbekistan

AU  - Mirzayeva Fotima Mirrakhimzhonovna
AU  - Zokirzhonov Mukhammadsodiq Ravshanbek Ugli
Y1  - 2024/10/10
PY  - 2024
N1  - https://doi.org/10.11648/j.ijafrm.20240904.11
DO  - 10.11648/j.ijafrm.20240904.11
T2  - International Journal of Accounting, Finance and Risk Management
JF  - International Journal of Accounting, Finance and Risk Management
JO  - International Journal of Accounting, Finance and Risk Management
SP  - 124
EP  - 130
PB  - Science Publishing Group
SN  - 2578-9376
UR  - https://doi.org/10.11648/j.ijafrm.20240904.11
AB  - 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.

VL  - 9
IS  - 4
ER  -

Copy | Download