A Public Data Framework for Vendor-Style U.S. Treasury Valuation
DOI:
https://doi.org/10.21919/remef.v21i2.1430Palabras clave:
Bond valuation, Public data framework, Price estimationResumen
¿Puede la información pública replicar a los proveedores institucionales de precios de bonos?
Este estudio tiene como objetivo evaluar si un marco transparente de valuación de bonos basado exclusivamente en información pública puede igualar el desempeño de los valuadores institucionales. La metodología construye curvas de rendimiento del Tesoro con especificaciones Nelson–Siegel–Svensson, valúa bonos del Tesoro estadounidense en cortes transversales repetidos y compara los precios sucios con el mercado mediante MAE, RMSE, errores porcentuales y análisis de distribución
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