Analysis of Russian Eurobonds Market

Student: Koziar Konstantin

Educational Programme: Stock Market and Investment (Master)

Year of Graduation: 2016

The purpose of this stude is to examine eurobond market. This market is a significant part of the global capital market. The share of Russian issuers in this market is very small due to the small history and because of the imposition of sanctions against Russia. Nevertheless, the Russian companies and the government plans to enter the Eurobond market . Although most of authors determine credit rating as the most important factor explaining the difference in yields, in this paper was shown that the sectoral affiliation (financial or non-financial) also has explanatory power. Hedge effectiveness were carried out using an interest rate swap (float-to-fixed) and cross-currency interest rate swap (USD float-to-fixed EUR) based on forecasts recieved by the model of vector autoregression (VAR) for LIBOR rate . As a result, it was found that hedge currency interest rate swaps can bring significant savings to the issuer for services Eurobond coupon payments on the portfolio.

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