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The Risk Factors Analysis of the Term Structure of Interest Rate in the Interbank Bond Market

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Quantitative Financial Risk Management

Part of the book series: Computational Risk Management ((Comp. Risk Mgmt,volume 1))

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Abstract

This article uses the Svensson model to develop the term structure of interest rate in China’s interbank bond market, and then analyzes the variation of the term structure of interest rate through principal components analysis and sensitivity analysis. The results show the term structure can be explained by the four principal components rather than three principal components compared with foreign developer market. The first principal component seems different than the parallel shift factor of the yield curve usually found in foreign studies and the fourth factor has a significant impact on the term structure especially the spot rate within 1 or 2 years. The difference of the risk factors exhibits a distinctive feature of China’s interbank bond market.

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Notes

  1. 1.

    See Martellini (2000) (Knez et al. 1991) and Grahame (2005) (Martellini and Priaulet 2000).

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Author information

Authors and Affiliations

  1. The Postdoctoral Programme of the Bank of Beijing, Financial street. 17, 100140, Beijing, People’s Republic of China

    Yujun Yang

  2. The Postdoctoral Programme of the Agricultural Bank of China, The post-doctorate research station of Tsinghua University, Jianguomen. 69, 100005, Beijing, People’s Republic of China

    Hui Huang

  3. Beijing rural commercial bank, Financial street. 9, 100033, Beijing, People’s Republic of China

    Jing Pang

Authors
  1. Yujun Yang
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  2. Hui Huang
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  3. Jing Pang
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Corresponding author

Correspondence to Yujun Yang .

Editor information

Editors and Affiliations

  1. , Risklab, University of Toronto, Spadina Crescent 1, Toronto, M5S 3G3, Ontario, Canada

    Dash Wu

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© 2011 Springer-Verlag Berlin Heidelberg

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Yang, Y., Huang, H., Pang, J. (2011). The Risk Factors Analysis of the Term Structure of Interest Rate in the Interbank Bond Market. In: Wu, D. (eds) Quantitative Financial Risk Management. Computational Risk Management, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-19339-2_8

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