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Term Structure of Russian Credit Rates and Arbitrage Theory
P. 13–22.
The credit market can be considered as a certain analogue of the zero coupon bond market, where credit granting is like bond purchasing, and receiving the credit is like the short sale of bonds. Of course, there is no perfect analogy because the operational procedures on these markets are rather different. However, it is assumed in this article that term structures of these rates of return are similar. For zero-coupon bonds in a time-discrete model there is a known affine temporal structure of yield to maturity that depends on the current short-term rate. In this article the one week interest rate was used as the yield to maturity for one-period bonds. An autoregressive scheme AR (1) for a one week rate of interest was taken as a Vasiček discrete model for the short rate of interest. Using a latent scalar parameter which exists in the model allows constructing adequate term structure of interest rates on the Russian market of interbank credits.
In book
Istanbul: [б.и.], 2014.