PEMODELAN KURVA IMBAL HASIL MODEL KELAS NELSON-SIEGEL DAN ESTIMASINYA MENGGUNAKAN METODE ALGORITMA GENETIKA YIELD CURVE MODELING; WITH NELSON-SIEGEL CLASS MODEL AND IT’S ESTIMATION USING GENETICS ALGORITHM METHOD

MUSLIM, Dedi Rosadi

2016 | Tesis | FMIPA

Yield curve is a curve that describes the relationship between yields and maturities. These curves are used as a reference yields in the bond transaction. In obtaining these curves can be used a variety of models such as parametric models and nonparametric models. The parametric used, i.e. Nelson-Siegel class model, which is consists of the Nelson-Siegel model, Nelson-Siegel Svensson model, Bliss model, and Rezende-Ferreira model. This model class and its estimation method Svensson extended model is an expanded model of Nelson-Siegel and Svensson model by combines the first hump and second hump in the third factor that this model consists of flat, slope, the combined first hump and second hump. The expansion of this model aims to increase the flexibility and accuracy of drawing the yield curve in particular on the Indonesian government bonds. In the Indonesian government bond yields on medium-term and long-term yield curve is relatively the same generated. This problem, it is causing less flexible and accuracy other models when applied to the data of the bonds. In the estimation aspects known of the Nelson-Siegel-class model has linear and nonlinear parameters, making it more difficult to estimate. To overcome this problem was proposed to estimate hybrid with genetic algorithm approach. This dissertation consists of six chapters, chapter I contain an introduction that explains the background to the issues discussed, literature review, problems, goals, benefits and systematic writing. Chapter II contains the explanation of the government bonds, the yield curve, estimation methods used in the study. Section III discusses the Nelson-Siegel class model and their expansion. Chapter IV contains estimation the Nelson-Siegel class model, application usage Nelson-Siegel class model empirically discussed in chapter V, and Chapter VI contains the conclusions and open issues for further research.

Kata Kunci : N