q-fin updates on arXiv.org
Tue, 19 Nov 2019 06:01:22 GMT language
This paper analyses the Chinese Sovereign bond yield to find out the
principal factors affecting the term structure of interest rate changes. We
apply Principal Component Analysis (PCA) on our data consisting of the Chinese
Sovereign bond from January 2002 till May 2018 with the different yield to
maturity. Then we will discuss the multi-factor immunization model (method on
hedging market risk) on a bond portfolio.