Date of Publication

2018

Document Type

Master's Thesis

Degree Name

Master of Science in Financial Engineering

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Adviser

Angelito A. Bala

Defense Panel Member

Brian C. Gozun

Abstract/Summary

The term structure of interest rates is considered as one of the most important factors in the capital market and probably in the economy. As it gives out the necessary information for valuing future cash flows, measuring economic expectations and testing the effectiveness of monetary policy decisions, its accurate modeling and reliable estimation exemplifies one of the most challenging topics in financial research.

This paper was able to accomplished two important things. First, by reviewing two of the most widely-used parametric term structure estimation techniques available today - the Nelson-Siegel Model and Nelson-Siegel-Svensson Model - the author was able to prove that the Nelson-Siegel- Svensson Model has the better fitting performance for Philippine Government Bonds market. Second, using the selected model, it was able to produce a framework that could be used to generate zero coupon yield curve estimates for the Philippine secondary bond market.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTG007595

Shelf Location

Archives, The Learning Commons, 12F Henry Sy Sr. Hall

Keywords

Bond market--Philippines; Interest rates--Philippines; Capital market--Philippines

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