Quantitative risk measurement is an important part of the process of risk management at commercial banks. Over the last few years, counterparty risk has become one of the most significant factors influencing financial markets. An important aspect in counterparty risk assessment is using estimated spreads of credit default swaps (CDS) for one’s counterparties.This article considers the possibility of using CDSes for assessing the solvency of financial institutions in Russia. It also provides the definition of CDS and describes the characteristic features of the Russian CDS market.