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Impact Analysis of Risk Factors on Bond Yields

Student: Vladimir Rossokhin

Supervisor: Andrey G. Maksimov

Faculty: Faculty of Economics

Educational Programme: Economics (Master)

Year of Graduation: 2017

The study is devoted to assessing the impact of risk factors on bond yields. As an independent variable, the excess yield was taken (yield of the bond minus the yield of a government bond with a close maturity date). Indicators of systematic and non-systemic risk were used as independent variables. Particular attention was paid to the factors of credit risk. The first chapter is devoted to disclosure of the bond essence as a debt instrument that has free circulation on an organized security market, the theoretical bases of risk and return assessment, methods for assessing the systematic and individual risk of this investment instrument. In the second chapter, an analysis of the profitability or excess yield of bonds determinants was carried out. The main advantages and disadvantages of calculating of individual factors was identified with respect to the degree of development of the Russian security market, accessibility of information for a private and small institutional investor was revealed. In addition, an analysis of the set of determinants of the capital structure was carried out. It is noted that the greatest number of explanatory variables is calculated on the basis of official open and free reporting information in this case. In the third chapter the sample for the study was described, the used determinants was describes, and the impact of risk factors on bond yields have been assessed. As a result, a conclusion about the weak influence of variables describing credit risk on bond yield was made. Conclusions of this work can be used by private and institutional investors in making decisions on the bond market.

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