Quantitative Assessment of Changes in Credit Spread on Bonds of Russian Corporate Issuers as a Component of Market Risk

Student: Minakov Konstantin

Educational Programme: Economic Analysis (Master)

Final Grade: 7

Year of Graduation: 2024

Interest rate risk is one of the most significant categories for the banking system. Banks can minimize losses associated with this risk by improving risk management systems and applying advanced assessment techniques. In this study, we focus on one aspect of interest rate risk—the credit spread on Russian bonds—and analyze the factors influencing its variability. Using the example of the oil and gas industry, we consider the reaction of the credit spread to a new, previously not taken into account factor - the expectations of financial market participants regarding the monetary policy (MP) of the Bank of Russia. We also compare this reaction with the yields of government securities in the context of expectations for the key rate.

Full text (added May 15, 2024)

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