PEMODELAN YIELD CURVE UNTUK PASAR OBLIGASI DI INDONESIA
Abstract
Paper ini berupaya untuk mencari model penyusunan yield curve yang paling layak diterapkan di Indonesia. Ada dua kendala besar dalam penyusunan Indonesian yield curve, yaitu:
1. Tidak adanya obligasi pemerintah dengan tingkat maturity jangka pendek.
2. Proses pemulusan (smoothing process) antar yield dari data yang telah dihitung pada berbagai maturitity.
Dengan melihat realitas yang ada di pasar sekunder obligasi pemerintah, eksplorasi terhadap model- model penyusunan yield curve menjadi kajian yang relevan sebelum menentukan model yang paling sesuai bagi kondisi di Indonesia.
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