Issues of quantitative assessment of inflation risk premium and inflation risk management through inflation swaps

The subject of the study is the quantitative assessment of the inflation risk premium within the structure of interest rates in the Russian financial market and its application in structuring an over-the-counter inflation swap. The object of the study comprises the nominal and real government bond yield curves of the Russian Federation, as well as the key macroeconomic and external factors shaping the inflation risk premium under current economic conditions. Special attention is paid to geopolitical uncertainty and inflation dynamics as principal determinants of the inflation risk premium in the period after 2022, characterized by heightened volatility and structural shifts in the Russian economy. The paper investigates the decomposition of nominal yields using the parametric Svensson model and develops a factor model for estimating the inflation risk premium (IRP), making it possible to determine a fair premium to a floating rate within an inflation swap contract. The methodological framework includes econometric modeling techniques (OLS regression, random forest, and gradient boosting), the Svensson yield curve specification, and statistical time series analysis. The empirical base consists of monthly data on OFZ yields across maturities from one month to twenty years, realized inflation, and the RUSEPUINDXM geopolitical uncertainty index. The novelty of the research lies in the development and empirical validation of a factor model tailored to the Russian market that explicitly incorporates geopolitical uncertainty as an independent determinant of the inflation premium. The main conclusions confirm the statistical significance of the geopolitical factor across maturities, the robustness of the linear OLS model relative to machine learning algorithms on a limited sample, and the suitability of the Svensson parameter as a proxy indicator of the inflation risk premium. The results demonstrate the practical applicability of the proposed model for inflation swap structuring and inflation risk management.