This article identifies key risks that investors in Ukrainian dollar-linked government bonds face, namely model risk, currency risk, volatility risk, interest rate risk, time risk. Most of the open literature on the subject of Ukrainian dollar-linked government bonds concentrates on the risks to the issuer (risks to the government finance). As this instrument constitutes a significant part of state-owned banks’ portfolios, it is of high need to understand the risks from the investors’ standpoint. It is noted that other developing economies are known to issue dollar-linked debt securities, for example Brazil, which also experienced investors’ the lack of confidence in local currency. Studies concerning indexed debt securities in Ukraine and worldwide are analysed. This research points out the most important in terms of valuation and risks analysis characteristics of Ukrainian dollar-linked government bonds. Fair value of Ukrainian banks’ portfolios of dollar-linked government bonds is decomposed into the value of plain bond, intrinsic value of embedded option and time value of embedded option. Key components of model risk for investors are identified, namely input risk and assumption violation risk. Risk metrics (Greek letters) of banks’ portfolios in dollar-linked government bonds are computed and compared between investor banks based on Black-Scholes fremework. Based on risk metrics, it is concluded that Ukreximbank faces the highest time risk (relative to its regulatory capital), while Privatbank’s portfolio is the most sensitive to changes in US interest rates. It is highlighted that time risk cannot be diversified or hedged, which should be accounted for by banks. Methods for management of identified risks are proposed. Risk factors’ contributions to revaluation if dollar-linked government bonds portfolios of banks during the first year of full-scale russian invasion of Ukraine are computed and compared between banks. It is noted that for deeper analysis of investor banks’ risks one should consider banks’ open currency position and changes in the costs and volume of funding.