Government bonds play an important role in the development of both developed and emerging financial markets. Government bonds represent Benchmark bonds that provide a standard in determing the price against which the performance of corporate bonds and other financial instruments can be measured. State issues are not secured with any kind of movable property or real estate, but investors based on the achieved degree of trust and credibility maintain these issues at low risk. In the conducted survey, samples of ten government bonds taken over from the Zagreb and Ljubljana Stock Exchange were compared. The aim of the research was to find out which government bonds are less risky and more suitable for investment. Research results in the determination of prices and yields that can be realized by investing in Croatian and Slovenian government bonds, and the risks associated with investing in the same, have shown that the Croatian government bond market is still weakened and less liquid than the Slovenian government bond market. Using the concept of Macauly's duration, an insight into the relationship between yield and risk of government bonds on the Croatian and Slovenian capital markets was gained. Accordingly, the results have shown that Slovenian government bonds are less risky and more suitable for investment. Nevertheless, immunization of a future debt using bonds of Zagreb Stock Exchange was successfully performed. Croatia hasn't yet developed a transparent public debt management policy, which is the result of the consequences not only of the state as an issuer but of the entire market, financial intermediaries and the investment public. The achieved degree of development of the Croatian debt market is not a result of the conscious and planned stimulation of the capital market development by the state, but rather the need to finance the high deficit of the state and to reduce the external debt.