Discriminative Power of Bond Credit Spreads in Russian Bond Market

Bonds, like any debt instrument, carry a credit risk, which must be periodically evaluated. This can be done in two ways: consider the issuer's credit rating assigned to it by the rating agency, or analyze credit spreads, based on market data. Of course, it's easier to turn to the finished indicator found by professionals, but it is better to have one more option in hand, which will help determine the current quality of the borrower's debt obligations. But not all Russian companies issuing bonds are rated by agencies. Therefore, the credit spread can become for investors of such companies the main tool for assessing the state of the borrower. To understand the extent to which credit spreads are correlated with a credit rating, which is a recognized identifier in this area, it is necessary to assess the discriminating ability of spreads, which was done in this paper. The result was the identification of the model most suitable for finding credit spreads of Russian bonds.