Path: Top > Terbitan/Publikasi Institusi Lain > Jurnal Terakreditasi DIKTI > Bank Indonesia > Direktorat Riset Ekonomi dan Kebijakan Moneter > Buletin Ekonomi Moneter dan Perbankan > Volume 11 Nomor 4 April 2009

Modeling the Yield Curves of AA and A Rated Corporation Bonds with the Nelson Siegel Svensson and Cubic Spline Smooting Methods

Journal from JBPTPPOLBAN / 2013-06-24 17:52:22
Oleh : Denny Permatasari ; Nur Iriawan (denok87@statistika.its.ac.id ; nur_i@statistika.its.ac.id)
Dibuat : 2012-04-23, dengan file

Keyword : Cubic Spline Smooting, Nelson Siegel Svensson, corporate bond, Levenberg-Marquardt

Bonds are commercial instruments which have an influence on the economic sector in Indonesia. Bond transaction cannot be made in the market directly, bust 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 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 Smooting (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 given the smallest RMSE and MAE. In contract, Nelson Siegel Svenssin reports a model which has more parsimony, is more easily explains, and more adaptable to keep upforward 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.

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Organisasi
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NegaraIndonesia
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