Modeling the Yield Curve of Spot Interest Rates under the Conditions in Bulgaria Cover Image

Моделиране кривата на spot лихвените про¬цен¬ти в българските условия
Modeling the Yield Curve of Spot Interest Rates under the Conditions in Bulgaria

Author(s): Alexander Ganchev
Subject(s): Economy
Published by: Стопанска академия »Д. А. Ценов«

Summary/Abstract: Object of study in the article is the curve of spot interest rates taken at the market of government securities in Bulgaria for the period of time - January 2006 – December 2007. The quantitative models for modeling the yield curve are subject of research and especially the spot interest rates’ models, including the model of Vasicek, the model of Nelson and Siegel, the model of Svensson, the model of ElKaroui, Cherif, Dicoum and Savidan and the model of Martellini and Priaulet. The article reaches the conclusion that most ineffectively the curve of spot interest rates is drawn up by means of Nelson and Siegel’s model. The main results from the carried out empiric tests show that the Martellini and Priaulet model distinguishes with its high stability, satisfactory accuracy and high ability to model correctly the bond prices. This makes it the most suitable for modeling the spot interest rate curve at the market of government securities in Bulgaria.

  • Issue Year: 2008
  • Issue No: 1
  • Page Range: 68-88
  • Page Count: 21
  • Language: Bulgarian