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Survival Pattern of IPO in the High-Yield Bond Market

Student: Feliks Harbar

Supervisor: Victoria Rodina

Faculty: HSE Banking Institute

Educational Programme: Financial Analyst (Master)

Final Grade: 9

Year of Graduation: 2021

High-yield bonds market is a new phenomenon in Russian market. Hence, many its concepts are still forming, such as legal regulation, pricing and more important key factors of allocation to such group of issues. Nevertheless, this market is rapidly growing and attracted attention of the government authorities. Special interest is assessing the probability of survival up to a specific point in time, as such issues are assumed to default very often, hence, key factors influencing default must be detected and mathematical model be built. The data was collected for the issuance period of 2013-2017, as this period is not covered sufficiently and occurred long enough ago to perform an adequate analysis. For that purpose Survival analysis is chosen with application in R software.

Full text (added May 20, 2021)

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