scholarly journals Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model

2014 ◽  
Vol 2014 ◽  
pp. 1-7
Author(s):  
Chaoqun Ma ◽  
Jian Liu ◽  
Qiujun Lan
Keyword(s):  
Kalman Filter ◽  
Interest Rate ◽  
Term Structure ◽  
Principal Component ◽  
Vasicek Model ◽  
Role Based ◽  
Model Fits

With the development of the Chinese interest rate market, SHIBOR is playing an increasingly important role. Based on principal component analysing SHIBOR, a two-factor Vasicek model is established to portray the change in SHIBOR with different terms. And parameters are estimated by using the Kalman filter. The model is also used to fit and forecast SHIBOR with different terms. The results show that two-factor Vasicek model fits SHIBOR well, especially for SHIBOR in terms of three months or more.

scholarly journals Geração de Cenários de Estresse para Curva de Juros

2011 ◽  
Vol 9 (3) ◽  
pp. 413
Author(s):  
Alan De Genaro Dario ◽  
Mariela Fernández
Keyword(s):  
Principal Component Analysis ◽  
Interest Rate ◽  
Term Structure ◽  
Principal Component ◽  
Component Analysis ◽  
Market Data ◽  
Low Dimensions ◽  
Hjm Model ◽  
The Interest Rate

This article describes the use of the Heath-Jarrow-Morton framework to generate stress scenarios for the term structure of the interest rate. By means of principal component analysis it is possible to reduce the dimensions of the problem and create a bridge between the information a specialist possesses for defining scenarios, such information generally being of low dimensions, and the robustness of the HJM model. The methodology is applied to Brazilian Market data during the market meltdown in 2008 and from other occasions.

scholarly journals The term structure of economic management rate under the parameter analysis of the estimation model based on common differential equation

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Yaling Chen ◽  
Chao Huang ◽  
Iyad Katib ◽  
Mohamad Salama
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Principal Component ◽  
Parameter Analysis ◽  
Estimation Model ◽  
Economic Management ◽  
Factors Affecting ◽  
Variance Contribution ◽  
Interest Rate Term Structure ◽  
The Interest Rate

Abstract To reflect the country's economic growth, inflation and the implementation of monetary policies. Based on the monthly data of national debt yield from January 2015 to December 2019, these data are divided into 1 year to 30 years according to the maturity period, and the principal component analysis of the term structure of interest rate from 2012 to 2017 shows that the factors affecting the change of term structure of interest rate include level factor, skew factor and curve factor. The variance contribution rates of these factors to the variation of interest rate term structure curve are 82.2002%, 16.9948% and 0.6283% respectively. The horizontal factor represents the position of the term structure of interest rate, the skew factor represents the degree of skew of the term structure of interest rate, and the curve factor determines the interest rate.

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