Interest rate derivatives in lending to construction companies in the Russian market

Abstract

Subject. This article examines interest rate derivatives as a way to hedge the risks of construction companies in a period of high uncertainty in financial markets. Objectives. The article aims to build an approach to estimating the price of interest rate derivatives, taking into account the specifics of lending to construction companies in the Russian Federation. Methods. For the study, we used the Black model and a regression analysis. Results. The article presents the first version of the author-developed model for estimating cap options on the key interest rate of the Central Bank of the Russian Federation when lending to construction companies. Conclusions. It is necessary to make an amendment to the traditional model for estimating premiums for the cap option on the key interest rate of the Central Bank of the Russian Federation when lending to construction companies, taking into account the specifics of pricing such loans.