Modeling The Yield Curves of AA and A Rated Corporation Bonds With The Nelson Siegel Svensson and Cubic Spline Smoothing Methods  

Oleh:

Permatasari, Denny

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Bulletin of Monetary Economics and Banking (ex: Buletin Ekonomi Moneter dan Perbankan) vol. 11 no. 4 (Apr. 2009), page 293-322.
Topik: modeling; yield; curves; smoothing

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: BB62 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Bonds are commercial instruments which have an influence on the economic sector in Indonesia. Bond transactions cannot be made in the market directly, but must be traded through securities. On average, there are only a few bond transactions with various market prices. Benchmarking, therefore, needs to be created in order to determine bond prices through a yield curve. Through a yield curve, the relatonship between the yield of nonds with same credit risk (rating) and different maturity times can be seen. This research was conducted by employing time to maurity in order to model the yield of some selected corporate bonds with AA and A ratings.

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