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Modeling The Yield Curves Of AA And A Rated Coorporation Bonds With The Nelson Siegel Svensson And Cubic Spline Smoothing Methods
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 relationship between the yield of bonds with the same credit risk (rating) and different maturity times can be seen. This research was conducted by employing time to maturity in order to model the yield of some selected corporate bonds with AA and A ratings. Two methods, the Nelson Siegel Svensson (NSS) method, coupled with the Levenberg-Marquardt optimization and Cubic Spline Smoothing (CSS), are employed here. These two methods have been applied to data from the Indonesian Stock Exchange (IDX), ranging from September to November 2008. The results show that CSS gives the smallest RMSE and MAE. In contrast, Nelson Siegel Svensson reports a model which has more parsimony is more easily explained, and more adaptable to keep upfoward maturity than CSS. This research takes into account that NSS models corporate bond yield curves better than CSS. Another importance conclusion that can be made is that the yield of corporate bonds (with AA and A rating) hangs about under IGSYC for a certain period. This means that the corporate bond market in Indonesia is not good for investment compared to government bond. .Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| BEMP1104 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Jakarta: Bank Indonesia |
|---|---|
| Edisi | - |
| Subjek | nelson siegel svensson Cubic spilne smoothing coorporate bond Levenberg Marquardt |
| ISBN/ISSN | 14108046 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |