Modeling of Credit Risk Components for Bonds of International Companies

In the course of the study, a review of the relevant literature on the topic under consideration was conducted, an analysis of credit risks and factors affecting them was carried out, which made it possible to divide the risk into its components and determine the relationship between the probability of default and various risk components. Also during the theoretical part of the thesis, the most popular metrics and methods for assessing credit risk were studied. The result of the empirical part of the master's work is the construction of a model for estimating the probability of default based on a structural model using a credit spread. During the theoretical part, the key problems of the basic model were identified, which were solved in the course of the empirical part. Authors criticizing this model did not take into account different levels of default depending on the industry. The industry-specific LGD level was used to separate the estimated probability of default by various industries. The resulting model for assessing the probability of default has a strict monotony with respect to ratings, and reflects the temporary structure of the probability of default, and also includes the ability to analyze segments with different credit risks. The hypothesis formulated in the introduction was confirmed. During the theoretical part of the course work, it was confirmed that the different segments of the economy have different levels of risk, therefore, have a different probability of default. Moreover, the study confirmed the hypothesis that the probability of defaults depends on both micro and macro indicators. The credit spread reflects both micro and macro factors.