基于间接自举法的人民币收益率曲线估计

2006 International Conference on Management Science and Engineering Pub Date : 2006-10-01 DOI:10.1109/ICMSE.2006.314052

Liu Xun-yi, Y. Bo

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引用次数: 0

摘要

资产负债管理(asset & liability management, ALM)和资金转移价格(funds transfer price, FTP)是商业银行资本市场竞争力的关键工具。资产负债管理(asset &负债management, ALM)和资金转移价格(funds transfer price, FTP)需要一条合理、准确的收益率曲线来衡量风险和计算资金成本，但目前中国还没有这样的人民币收益率曲线，因为中国的债券市场还不成熟，连续的债券价格样本很少。本文分析了现有的收益率曲线方法，利用二次样条函数对自举法进行了改进，并用中国国债市场数据对人民币收益率曲线进行了估计。提出了构建我国商业银行人民币收益率曲线的方法

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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RMB Yield Curve Estimation Based on Indirect Bootstrap Method

The asset & liability management (ALM) and funds transfer price (FTP) are key tools for commercial bank in capital market competence ALM and FTP need a reasonable and veracious yield curve to measure risks and compute fund cost, but now there is not such an RMB yield curve in China, because Chinese bound market is still immaturity and there is few continuous bound price samples. The paper analyzes the existing yield curve methods, improves the bootstrap by quadratic spline function, and then uses the method to estimate a RMB yield curve with Chinese treasury bond market data. It proposes the method of building an RMB yield curve for Chinese commercial bank

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2006 International Conference on Management Science and Engineering

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