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Risk Analysis of Russian Corporate Bonds

Student: Aisylu Zakieva

Supervisor: Nikolay I. Berzon

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2018

Bonds are very popular instrument in capital market, so their pricing problems occupy a special place among researchers. Yield and risk of bonds are the most important indicators. In this paper the main attention is paid to risk and spread. The goal of this research is the extension of theoretical ideas and methodological approaches to risk management through analysis of spread. The statistical sample includes daily Z-spread data of Russian corporate bonds in period 2008-2017. The study constructed regression model evaluating factors of spread and the conclusions about the significance of the factors GDP, exchange rate, credit rating of issuers, the term to maturity and the amount of the bond issue. A review of the adequacy and effectiveness of the model showed that it had shortcomings. As a result, some adjustments were made to the model. Thus, an effective yield spread model was developed that reflects the risk of Russian corporate bonds against government bonds.

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