Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model

ChaoqunMa; JianLiu; QiujunLan

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Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model

机译：两因素Vasicek模型研究SHIBOR的期限结构

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With the development of the Chinese interest rate market, SHIBOR is playing an increasingly important role. Based on principal component analysing SHIBOR, a two-factor Vasicek model is established to portray the change in SHIBOR with different terms. And parameters are estimated by using the Kalman filter. The model is also used to fit and forecast SHIBOR with different terms. The results show that two-factor Vasicek model fits SHIBOR well, especially for SHIBOR in terms of three months or more.

机译：随着中国利率市场的发展，SHIBOR扮演着越来越重要的角色。基于主成分分析SHIBOR，建立了一个两因素Vasicek模型来描述不同术语下SHIBOR的变化。通过使用卡尔曼滤波器估计参数。该模型还用于拟合和预测具有不同术语的SHIBOR。结果表明，两因素Vasicek模型非常适合SHIBOR，尤其是对于三个月或更长时间的SHIBOR。

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《Abstract and applied analysis》 |2014年第2期|共7页
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ChaoqunMa; JianLiu; QiujunLan;
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中图分类数学分析;
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1. Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model [J] . ChaoqunMa, JianLiu, QiujunLan Abstract and applied analysis . 2014,第2期

机译：两因素Vasicek模型研究SHIBOR的期限结构
2. Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making [J] . Nowak Piotr, Romaniuk Maciej Soft computing: A fusion of foundations, methodologies and applications . 2017,第10期

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3. Estimation of one-, two- and three-factor generalized Vasicek term structure models for Japanese interest rates using monthly panel data [J] . K. Ben Nowman Applied financial economics . 2011,第13a15期

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4. Empirical research of two-factor Vasicek model based on copulas [C] . Hengyu Wu, Peng Chen, Wu Yan, 2011 International Conference on Business Management and Electronic Information . 2011

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7. Total Positivity and the Classification of Term Structure Shapes in the Two-Factor Vasicek Model [O] . Martin Keller-Ressel 2019

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Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model

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