Дипломная работа: Анализ факторов премии за риск корпоративных облигаций

SPREAD

PERIOD

RATING_INTER

TYPE_BOND

TYPE_ORGANISER

CALL

PUT

EMISSION_VOL

Mean

2.367726

8.809147

-3.483446

0.733432

0.690722

0.403535

0.039764

8785.036

Median

1.360000

9.972603

-4.000000

1.000000

1.000000

0.000000

0.000000

5000.000

Maximum

18.75000

34.90411

0.000000

1.000000

1.000000

1.000000

1.000000

100000.0

Minimum

-8.490000

0.997260

-8.000000

0.000000

0.000000

0.000000

0.000000

0.090000

Std. Dev.

3.061158

6.215377

3.374571

0.442491

0.462537

0.490968

0.195549

10829.85

Skewness

1.170782

2.146567

-0.091275

-1.055857

-0.825285

0.393250

4.710579

4.208555

Kurtosis

5.749842

8.791066

1.215607

2.114835

1.681095

1.154645

23.18956

30.54658

Jarque-Bera

369.0522

1470.246

91.02514

148.3292

126.2909

113.8433

14043.32

23472.52

Probability

0.000000

0.000000

0.000000

0.000000

0.000000

0.000000

0.000000

0.000000

Sum

1607.686

5981.411

-2365.260

498.0000

469.0000

274.0000

27.00000

5965039.

Sum Sq. Dev.

6353.325

26191.76

7720.879

132.7511

145.0515

163.4315

25.92636

7.95E+10

Observations

679

679

679

679

679

679

679

679

BRENT_GROWTH

DEFAULT_RATE

EXCH_RATE

GDP_GROWTH

BUILDING

ENERGETICS

IRON_INDUST

Mean

0.140029

0.017724

-0.006859

7.836112

0.150221

0.100147

0.042710

Median

0.300000

0.007101

0.000000

6.306671

0.000000

0.000000

0.000000

Maximum

18.22000

0.207024

5.037914

31.92216

1.000000

1.000000

1.000000

Minimum

-22.10000

0.000000

-6.902319

2.406842

0.000000

0.000000

0.000000

Std. Dev.

7.481225

0.027968

0.812323

5.970350

0.357551

0.300418

0.202351

Skewness

-0.826945

2.562630

-0.901081

2.495393

1.957968

2.663942

4.523097

Kurtosis

4.313926

10.90247

15.38216

9.876078

4.833639

8.096587

21.45841

Jarque-Bera

126.2304

2509.960

4429.506

2042.330

528.9633

1537.979

11954.54

Probability

0.000000

0.000000

0.000000

0.000000

0.000000

0.000000

0.000000

Sum

95.08000

12.03466

-4.657302

5320.720

102.0000

68.00000

29.00000

Sum Sq. Dev.

37946.80

0.530339

447.3904

24167.36

86.67747

61.18999

27.76141

Observations

679

679

679

679

679

679

679

MACHINE_MANUFACT

OIL_GAS

OTHER_SECTOR

TELECOM

TRADE_RETAIL

TRANSPORT

Mean

0.053019

0.179676

0.191458

0.097202

0.079529

0.106038

Median

0.000000

0.000000

0.000000

0.000000

0.000000

0.000000

Maximum

1.000000

1.000000

1.000000

1.000000

1.000000

1.000000

Minimum

0.000000

0.000000

0.000000

0.000000

0.000000

0.000000

Std. Dev.

0.224237

0.384200

0.393739

0.296451

0.270762

0.308114

Skewness

3.989624

1.668713

1.568398

2.719475

3.108130

2.559135

Kurtosis

16.91710

3.784604

3.459871

8.395546

10.66047

7.549172

Jarque-Bera

7280.974

332.5408

284.3586

1660.554

2753.480

1326.643

Probability

0.000000

0.000000

0.000000

0.000000

0.000000

0.000000

Sum

36.00000

122.0000

130.0000

66.00000

54.00000

72.00000

Sum Sq. Dev.

34.09131

100.0795

105.1105

59.58468

49.70545

64.36524

Observations

679

679

679

679

679

679

Chow Breakpoint Test: 631

F-statistic

1.790416

Probability

0.052076

Log likelihood ratio

20.05123

Probability

0.044643

Chow Breakpoint Test: 720

F-statistic

0.375050

Probability

0.965622

Log likelihood ratio

4.249098

Probability

0.962056

Chow Breakpoint Test: 702

F-statistic

0.742441

Probability

0.697828

Log likelihood ratio

8.386014

Probability

0.678365

Chow Breakpoint Test: 714

F-statistic

0.939006

Probability

0.501958

Log likelihood ratio

10.58920

Probability

0.478292

Chow Breakpoint Test: 716

F-statistic

0.931047

Probability

0.509646

Log likelihood ratio

10.50012

Probability

0.486039

Chow Breakpoint Test: 752

F-statistic

0.161949

Probability

0.999106

Log likelihood ratio

1.838048

Probability

0.998989

Chow Breakpoint Test: 742

F-statistic

1.041142

Probability

0.407842

Log likelihood ratio

11.73118

Probability

0.384185