Choosing the weighting coefficients for estimating the term structure from sovereign bonds
Estimates of the term structure of interest rates depend heavily on the quality of the market data from which it is constructed. Estimated rates can be incorrect due to observation errors and omissions in the data. The usual way to deal with the heteroskedasticity of observation errors is by introducing weights in the fitting procedure. There is currently no consensus in the literature about the choice of such weights. We introduce a non-parametric bootstrap-based method of introducing observation errors drawn from the empirical distribution into the model data, which allows us to perform a comparison test of different weighting schemes without implicitly favoring one of the contesting models – a common design flaw in comparison studies. We use government bonds of several countries to show that realistic observation errors can distort the estimated yield curve. Moreover, we show that using different weights or other modifications of accounting for observation errors in bond price data doesn't always improve the term structure estimates, and often only worsens the situation. Based on our comparison, we advise to either use equal weights or weights proportional to the inverse duration in practical applications.
The article deals with the research of construction of the term structure of interest rates on the China’s bond market. The article provides an overview of the China’s bond market and its mechanism. Based on the data from China Central Depository & Clearing (CCDC), article gives the result of the computer simulation.
Recent contributions to kernel smoothing show that the performance of cross-validated bandwidth selectors improves significantly from indirectness and that the recent do-validated method seems to provide the most practical alternative among these methods. In this paper we show step by step how classical cross-validation improves in theory, as well as in practice, from indirectness and that do-validated estimators improve in theory, but not in practice, from further indirectness. This paper therefore provides a strong support for the practical and theoretical properties of do-validated bandwidth selection. Do-validation is currently being introduced to survival analysis in a number of contexts and this paper provides evidence that this might be the immediate step forward.
The article deals with the research of construction of the term structure of interest rates on the China’s bond market. The article provides an overview of the exist research from 1997 to 2010. Based on the data from China Central Depository & Clearing (CCDC), article gives the computer simulation result of the Hermite interpolation
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.