Probability Assessment of Bonds Issuer Default and Bond Portfolio Connection

Student: Litovkin Mikhail

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Bachelor)

Final Grade: 9

Year of Graduation: 2017

This study is dedicated to the construction of two models that estimate the probability of default of national issuers at bond prices, and the construction of a portfolio based on the data obtained from the models. All research is conducted on data on bonds and issuers for 2015 and are executed in an application package for the solution of econometric models MATLAB. The key tools for econometric analysis are the Merton Model and the ordered logistic regression. The first chapter is devoted to the theoretical basis of the study. The second chapter tells about the process of building the two main models. In the third chapter, based on the received data, the possibility of applying these models is analyzed.

Full text (added May 12, 2017)

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