title: ÐÑÐµÐ½ÐºÐ° ÑÐ¸ÑÐºÐ° Ð¿Ð¾ÑÑÑÐµÐ»Ñ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹
title: Ð²ÑÐ¿ÑÑÐºÐ½Ð°Ñ ÐºÐ²Ð°Ð»Ð¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¾Ð½Ð½Ð°Ñ ÑÐ°Ð±Ð¾ÑÐ° Ð±Ð°ÐºÐ°Ð»Ð°Ð²ÑÐ°
titleType: Subtitle
title: Risk assessment of a bond portfolio
Creators: name: ÐÑÐ¸Ð²ÑÐµÐ², ÐÐ²Ð°Ð½
Publisher: name: Ð¡Ð°Ð½ÐºÑ-ÐÐµÑÐµÑÐ±ÑÑÐ³ÑÐºÐ¸Ð¹ Ð¿Ð¾Ð»Ð¸ÑÐµÑÐ½Ð¸ÑÐµÑÐºÐ¸Ð¹ ÑÐ½Ð¸Ð²ÐµÑÑÐ¸ÑÐµÑ ÐÐµÑÑÐ° ÐÐµÐ»Ð¸ÐºÐ¾Ð³Ð¾
Year: 2024
Subjects: Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¸
Ð¿Ð¾ÑÑÑÐµÐ»Ñ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹
ÑÐ¸ÑÐº
Ð´ÑÑÐ°ÑÐ¸Ñ
Ð¸Ð½Ð²ÐµÑÑÐ¾Ñ
Ð¸Ð¼Ð¼ÑÐ½Ð¸Ð·Ð°ÑÐ¸Ñ
bonds
bond portfolio
risk
duration
investor
immunization

description: Ð¦ÐµÐ»ÑÑ Ð´Ð°Ð½Ð½Ð¾Ð³Ð¾ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑÐ²Ð»ÑÐµÑÑÑ ÑÐ³Ð»ÑÐ±Ð»ÐµÐ½Ð½Ð¾Ðµ Ð¸Ð·ÑÑÐµÐ½Ð¸Ðµ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¾Ð½Ð½Ð¾Ð³Ð¾ Ð¿Ð¾ÑÑÑÐµÐ»Ñ Ñ ÑÐµÐ»ÑÑ Ð²ÑÑÐ²Ð»ÐµÐ½Ð¸Ñ ÑÐ¸ÑÐºÐ¾Ð² Ð¸ ÑÐ°Ð·ÑÐ°Ð±Ð¾ÑÐºÐ¸ ÑÑÑÐµÐºÑÐ¸Ð²Ð½ÑÑ ÑÑÑÐ°ÑÐµÐ³Ð¸Ð¹ Ð¸Ñ ÑÐ¿ÑÐ°Ð²Ð»ÐµÐ½Ð¸Ñ. ÐÑÐ»Ð¸ ÑÐµÑÐµÐ½Ñ ÑÐ»ÐµÐ´ÑÑÑÐ¸Ðµ Ð·Ð°Ð´Ð°ÑÐ¸: 1. ÐÐ·ÑÑÐµÐ½Ð° Ð¸ÑÑÐ¾ÑÐ¸Ñ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹. 2. ÐÑÐµÐ½ÐµÐ½Ñ ÑÐ¸ÑÐºÐ¸ Ð¸ Ð¸Ñ Ð²Ð¸Ð´Ñ Ð² ÐºÐ¾Ð½ÑÐµÐºÑÑÐµ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹. 3. ÐÐ·ÑÑÐµÐ½ Ð¿Ð¾ÐºÐ°Ð·Ð°ÑÐµÐ»Ñ Ð´ÑÑÐ°ÑÐ¸Ð¸ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹. 4. ÐÐ·ÑÑÐµÐ½ Ð¼ÐµÑÐ¾Ð´Ñ Ð¸Ð¼Ð¼ÑÐ½Ð¸Ð·Ð°ÑÐ¸Ð¸ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹ Ð¸ Ð¸Ð½Ð²ÐµÑÑÐ¸ÑÐ¸Ð¾Ð½Ð½Ð¾Ð³Ð¾ Ð¿Ð¾ÑÑÑÐµÐ»Ñ, ÑÐ¾ÑÑÐ¾ÑÑÐµÐ³Ð¾ Ð¸Ð· Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹. 5. ÐÐ·ÑÑÐµÐ½ Ð²Ð¾Ð¿ÑÐ¾Ñ Ð´Ð¸Ð²ÐµÑÑÐ¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¸ Ð¸Ð½Ð²ÐµÑÑÐ¸ÑÐ¸Ð¾Ð½Ð½ÑÑ Ð¿Ð¾ÑÑÑÐµÐ»ÐµÐ¹. 6. ÐÐ·ÑÑÐµÐ½Ð¾ Ð¿Ð¾Ð½ÑÑÐ¸Ðµ ÑÑÐµÐ´Ð½ÐµÐºÐ²Ð°Ð´ÑÐ°ÑÐ¸ÑÐ½Ð¾Ð³Ð¾ Ð¾ÑÐºÐ»Ð¾Ð½ÐµÐ½Ð¸Ñ Ð¸ Ð¿Ð¾ÐºÐ°Ð·Ð°ÑÐµÐ»Ð¸: VCV VaR, HS VaR, BRW VaR. 7. Ð¡Ð¾ÑÑÐ°Ð²Ð»ÐµÐ½Ð° ÑÐ²Ð¾Ð´Ð½Ð°Ñ ÑÐ°Ð±Ð»Ð¸ÑÐ° ÑÐ¾ÑÑÐ¸Ð¹ÑÐºÐ¸Ñ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹, ÐºÐ°Ð¶Ð´Ð¾Ð¹ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¸ Ð´Ð°Ð½Ð° Ð¾ÑÐµÐ½ÐºÐ°. 8. Ð Ð°ÑÑÑÐ¸ÑÐ°Ð½Ñ Ð¿Ð¾ÐºÐ°Ð·Ð°ÑÐµÐ»Ð¸ Ð´ÑÑÐ°ÑÐ¸Ð¸, HS VaR, BRW VaR Ð´Ð»Ñ ÑÐ¾Ð·Ð´Ð°Ð½Ð½Ð¾Ð³Ð¾ Ð¿Ð¾ÑÑÑÐµÐ»Ñ. 9. ÐÐ°Ð½Ð° Ð¾ÑÐµÐ½ÐºÐ° Ð°ÐºÑÑÐ°Ð»ÑÐ½Ð¾ÑÑÐ¸ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° ÑÐ¸ÑÐºÐ° Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹. ÐÐºÑÑÐ°Ð»ÑÐ½Ð¾ÑÑÑ Ð´Ð°Ð½Ð½Ð¾Ð³Ð¾ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð¿ÑÐ¾ÑÐ²Ð»ÑÐµÑÑÑ Ð² ÑÐ¾Ð²ÑÐµÐ¼ÐµÐ½Ð½ÑÑ ÑÑÐ»Ð¾Ð²Ð¸ÑÑ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²ÑÑ ÑÑÐ½ÐºÐ¾Ð², ÑÐ°Ð±Ð¾ÑÐ° Ð¿ÑÐ¸Ð·Ð²Ð°Ð½Ð° Ð¿ÑÐµÐ´Ð¾ÑÑÐ°Ð²Ð¸ÑÑ Ð¾ÑÐ½Ð¾Ð²Ñ Ð´Ð»Ñ ÑÐ¾Ð·Ð´Ð°Ð½Ð¸Ñ Ð±Ð¾Ð»ÐµÐµ ÑÐ¾Ð²ÐµÑÑÐµÐ½Ð½ÑÑ Ð¼Ð¾Ð´ÐµÐ»ÐµÐ¹ Ð¾ÑÐµÐ½ÐºÐ¸ ÑÐ¸ÑÐºÐ°. ÐÑÐ½Ð¾Ð²Ð¾Ð¹ Ð´Ð»Ñ Ð¿ÑÐ¾Ð²ÐµÐ´ÐµÐ½Ð¸Ñ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° ÑÐ²Ð»ÑÐµÑÑÑ Ð´Ð¸Ð½Ð°Ð¼Ð¸ÐºÐ° ÑÐµÐ½ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹ ÑÐ¼Ð¸ÑÐµÐ½ÑÐ¾Ð². Ð ÑÐ¾Ð´Ðµ ÑÐ°ÑÑÑÑÐ¾Ð² Ð´Ð»Ñ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° Ð¿Ð¾ÐºÐ°Ð·Ð°ÑÐµÐ»ÐµÐ¹ Ð¾Ð±Ð»Ð¸Ð³Ð°ÑÐ¸Ð¹ Ð¸ÑÐ¿Ð¾Ð»ÑÐ·Ð¾Ð²Ð°Ð»Ð¾ÑÑ Ð¿ÑÐ¾Ð³ÑÐ°Ð¼Ð¼Ð½Ð¾Ðµ Ð¾Ð±ÐµÑÐ¿ÐµÑÐµÐ½Ð¸Ðµ MS Excel. ÐÐ»Ñ ÑÐ¾ÑÐ¼Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ Ð´Ð°Ð½Ð½Ð¾Ð³Ð¾ Ð¾ÑÑÐµÑÐ° Ð¸ÑÐ¿Ð¾Ð»ÑÐ·Ð¾Ð²Ð°Ð»Ð¾ÑÑ Ð¿ÑÐ¸Ð»Ð¾Ð¶ÐµÐ½Ð¸Ðµ MS Word. ÐÑÑÐ¾ÑÐ½Ð¸ÐºÐ°Ð¼Ð¸ Ð¸Ð½ÑÐ¾ÑÐ¼Ð°ÑÐ¸Ð¸ Ð²ÑÑÑÑÐ¿Ð¸Ð»Ð¸ Ð´Ð°Ð½Ð½ÑÐµ Ð¾ÑÐµÑÐµÑÑÐ²ÐµÐ½Ð½Ð¾Ð¹ Ð»Ð¸ÑÐµÑÐ°ÑÑÑÑ Ð¸ Ð¾ÑÐ¸ÑÐ¸Ð°Ð»ÑÐ½ÑÐµ ÐÐ½ÑÐµÑÐ½ÐµÑ-ÑÐµÑÑÑÑÑ.
description: The purpose of this research is to study the bond portfolio in depth in order to identify risks and develop effective strategies to manage them. The following tasks were solved: 1. The history of bonds has been studied. 2. The risks and their types in the context of bonds are assessed. 3. The bond duration indicator has been studied. 4. Methods of immunization of bonds and an investment portfolio consisting of bonds were studied. 5. The issue of diversification of investment portfolios has been studied. 6. The concept of standard deviation and the indicators: VCV VaR, HS VaR, BRW VaR were studied. 7. Duration indicators, HS VaR, BRW VaR for the created portfolio were calculated. 8. The risks and profitability of the created portfolio were assessed; 9. An assessment is given of the relevance of bond risk analysis. The relevance of this research is manifested in modern conditions of financial markets; the work is intended to provide a basis for creating more advanced risk assessment models. The basis for the analysis is the dynamics of the prices of the issuers bonds. During the calculations, MS Excel software was used to analyze the bond indicators. MS Word application was used to generate this report. The sources of information were data from domestic literature and official Internet resources.