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the Basic results and research conclusions

Working out of model of an estimation of the rate of restoration under corporate bonds of the Russian emitters on the basis of the information on the activity of the emitter accessible before a default was the purpose of the given dissertational work.

1. In research the scope of the rate of restoration which includes management of risks, regulation of the financial market, the financial account, acceptance of investment decisions and pricing of financial instruments has been specified. It has been established, that the restoration rate is basic parametre of account of requests to the capital and reservations in modern approaches of bank regulation and management of risks, and also a key explaining variable estimation in models of credit risk and pricing of bonds.

2. As a result of ordering of approaches to account of the rate of restoration under obligations of participants of the international financial markets their working classification has been made. It has been shown, that for achievement of an objective of this research under corporate bonds of the Russian emitters restoration in relation to a bond face-value is expedient to expect the restoration rate as.

3. On the basis of ordering of the factors influencing the rate of restoration, in research their classification by four groups has been developed: factors at bond level, factors at company level, branch factors and macroeconomic

Factors. It has been established, that in the international markets the seniority and liquidity of maintenance of the bond make the greatest impact on significance of the rate of restoration. Also significant factors are the default type, the financial lever of the company, the relation market and accounting value of assets, average yield of shares on branches, factor Q on branch and the aggregated frequency of a default. Specific explaining factors in the Russian market of corporate bonds are institutsionalnye factors: state sharing in financially - economic activities of the emitter, expressed by means of sharing of government bodies in an ownership capital of the emitter, application to the emitter of address or general measures of the state support and crediting by national banks, and also availability of signs of illegal actions of bodies of a corporate governance of the emitter.

4. In the dissertation generalisation of methods of valuation of the rate of the restoration, offered in earlier scientific researches is conducted, and allocated two basic methods, namely regressionnye models and a class of models of pricing of the financial instruments based on model Mertona. It has been established, that it is expedient to evaluate the restoration rate under corporate bonds of the Russian emitters a method regressionnogo the analysis as the given method gives the chance to consider various specific groups of explaining factors, to compare the received results with conclusions of other researches and to consider restrictions on availability of the information.

5. On the basis of the conducted statistical analysis of defaults in the Russian market of corporate bonds the factors, making the most essential impact on the restoration rate under corporate bonds of the Russian emitters have been defined and systematised, and the model of an estimation of the rate of restoration by a method regressionnogo the analysis is developed. Sharing of the state in financial and economic activity of the emitter, expressed by means of sharing of government bodies in an ownership capital of the emitter, crediting by national banks, and also availability of signs of illegal actions of bodies of a corporate governance of the emitter are the most significant factors explaining the rate of restoration in the Russian market of corporate bonds. Re-structuring realisation, bankruptcy and a kind of economic activities of the emitter also make essential impact on the restoration rate. At the same time addition in regressionnuju model of financial indexations of activity of the emitter leads to essential decrease in its statistical importance.

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A source: Antonova Ekaterina Njaimovna. Estimation of the recovery rate for corporate bonds of Russian issuers. Thesis for the degree of candidate of economic sciences. Moscow 2013. 2013

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