Our Work

Yield curve information is of vital importance for policy makers and private investors.

Model-based Yield Curve Pricing Tool

We developed a Yield Curve Pricing Tool for both the Bank of Georgia and Central Bank of Egypt, funded by the EBRD. 

The Yield Curve is a relationship between short and long term interest rates depicted as a continuous line. Information revealed by the curve is of vital importance for policy makers and private investors. It provides a broad scope of information, besides being the most up-to-date indicator of the local bond market.

We faced several challenges in our goal to build a full yield curve in these countries. To overcome sparse yield data, we used a combination of numeric techniques and proxies for unobservables. 

An additional challenge was to take into account differences in structures of emerging economies, and in their bond markets. To construct a continuous curve, we needed to propose a method, which reflects the special features of a given country and exploit information at hand in the most effective way.

Want to learn more? Feel free to contact us.