The paper is devoted to the issue of construction of the term structure of interest rates for China’s bond market. It provides an overview of the related studies for the period from 1997 to 2010. The paper also gives a brief description and history of the approach applied by China Central Depositary & Clearing (CCDC) in order to construct the yield curve out of the China’s bond market data.
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Working paper
Added: Mar 15, 2013
Working paper
Added: Feb 22, 2013
Working paper
Added: Mar 15, 2013
Working paper
Added: Feb 15, 2013
Working paper
The paper presents an outline of the Chinese bond market. It gives an overview of the Chinese bond market history and western research on this topic. The paper also gives a description on the market structure, infrastructure, regulation, participants and trading instruments of the today’s Chinese bond market.
Added: Apr 17, 2013
Working paper
Added: Mar 15, 2013
Working paper
Определение маржинальных требований при централизованном клиринге сделок кредитного дефолтного свопа
This paper discusses the major requirements to margin requirements systems in the credit default swap market. It also presents the approach to initial margin calculation which is consistent with the majority of documented requirements. The approach is based on application of structural models of credit risk and uses information on a reference entity’s stocks. Finally, the performance of presented approach is tested by its application to the initial margin setting for the Gazprom CDS.
Added: Nov 9, 2012
Working paper
Added: Feb 15, 2013
Working paper
Added: Oct 3, 2013
Working paper
Added: Oct 3, 2013
Working paper
Added: Oct 3, 2013
Working paper
The study was implemented in the framework of the Basic Research Program at the National Research University Higher School of Economics (HSE) in 2013. We study the equivalency of two hypotheses: replicability of default-free bond with a CDS and a reference defaultable bond and equality between bond credit risk premium and CDS spread. For continuous coupon arbitrage-free market we show that the hypotheses are equivalent, however for discrete coupon market we derive presence of arbitrage when both hypotheses are true. We also demonstrate that in discrete coupon market hypothesis of replicability leads to arbitrage opportunities in a more common sense than classic arbitrage definition.
Added: Oct 21, 2013
Working paper
Added: Mar 15, 2013
Working paper
Сравнительный анализ моделей оценки срочной структуры процентных ставок на китайском рынке облигаций
Added: Oct 3, 2013
Working paper
Added: Dec 16, 2012
Working paper
Frequently, standards and regulations are based on principles which could not be fully explained within the document itself. International Accounting Standards adopt certain terminology and methods of actuarial science, but an explanation of them in a due perspective
should be a purpose of special texts. This methodological paper provides such an “actuarial comment” to IAS (basically, to IAS 19 “Employee Benefits”). The author’s hope is that it will be useful and will help to fill, to some measure, the existing gap of information.
Added: Feb 15, 2013