文章基本信息

标题：Pricing model for Indonesia government bond
本地全文：下载
作者：Randi Bayu Prathama ; Sugiarto ; Gracia Shinta S. Ugut 等
期刊名称：Accounting
印刷版ISSN：2369-7393
电子版ISSN：2369-7407
出版年度：2020
卷号：6
期号：6
页码：1083-1092
DOI：10.5267/j.ac.2020.7.010
出版社：Growing Science
摘要：The yield curve is the building block of fair value in pricing bonds. It has been used by market participants for their asset valuations, Central Bank and Government’s Treasury for monetary, interest rate and borrowing decisions. The official yield curve construction in Indonesia government bond is based on Svensson model which is widely accepted and used by several countries. The objective is to find more accurate fair price from yield curve as the alternative of IBPA government bond curve as the baseline. This research takes observation on three alternative yield curve models in comparison with the baseline Svensson Model to price several series of benchmark and non-benchmark bonds. Fair price is further tested with One-Way ANOVA and Post Hoc in order to find the significance between models. The results show that alternative models are performing better in determining the fair value prices of the government bonds compared to the baseline model.
关键词：Fair value price; Pricing model; Government bond; Dynamic model