Forecasting Defaults on Corporate Bonds

The work is devoted to the possibility of predicting defaults of corporate bonds of the Russian market on the basis of financial statements of issuing companies. The first Chapter discusses the theoretical work underlying this study. The second Chapter provides an analysis of all default issues of corporate bonds that had a default in the period from 2008 to 2017, an analysis of the types and causes of defaults. The analysis of non-default issues used in the calculations is given. The third Chapter describes the mathematical models used to calculate the probability of default. In the final Chapter, the preliminary processing of the data, filling in the missing values of financial indicators of companies, the calculation of models and determining their accuracy, described the comparison of the effectiveness of models, identified the best model and the algorithm for calculating the probability of default for other companies-issuers of corporate bonds. The work contains 32 tables, 18 figures, 2 appendices.