Specifics of Russian Bonds Pricing

Student: Nemova Ekaterina

Educational Programme: Economics (Bachelor)

Final Grade: 9

Year of Graduation: 2017

The main goal of the paper is to create a new adequate model for pricing floating coupon bonds, with the coupon tied to RUONIA rate by predicting future cash flows. Given that the RUONIA values depend (and added) exclusively on short-term securities yields, it is needed to estimate the values of future future yields of short-term OFZs. Thus, the second objective of this paper is to analyze the zero-coupon yield curve for the government bond market, as well as to predict its future shape. In order to predict the dynamics of changes in the yield of government bonds, a model was developed, that predicts future values of the parameters of the curve of zero-coupon yield - "level", "curvature", "slope". It is the first work that applies this approach for the analysis of the Russian debt capital market.

Full text (added May 8, 2017)

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