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RMB yield curve

  1. RyuParticipant 2011-01-04 at 5:00 pm

    Does anyone have an idea how to construct a yield curve for RMB?

  2. Haksun LiModerator 2011-01-04 at 5:03 pm

    The biggest problem to construct an RMB yield curve is the illiquidity of RMB denominated bonds/debts.

    For treasury bonds, one simple way is to just read off from the “official” curve published by CBRC. This might be OK for risk measurement purpose, but I am not sure how good this curve is for trading. c.f., http://www.cbrc.gov.cn/english/home/jsp/docView.jsp?docID=20070615D0FD8501562D47CCFF9073EB1B90F800

    Recently, there are a few publications on bootstrapping an RMB yield curve, such as: http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=4105156