RMB Yield Curve Estimation Based on Indirect Bootstrap Method

摘要

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