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Constructing Czech Risk-Free Yield Curve by Nelson-Siegel and Svensson Method and Their Comparison

In: New Trends in Finance and Accounting

Author

Listed:
  • Martin Hanzal

    (University of Economics)

Abstract

This article describes differentiation of risk-free interest rate which is part of discount rate within income methods of assets valuation. The main focus is on two methods—Nelson-Siegel and Svensson—and their application to Czech state bonds. The risk-free yield curve is then created on their basis, and results of these methods are mutually valuated.

Suggested Citation

  • Martin Hanzal, 2017. "Constructing Czech Risk-Free Yield Curve by Nelson-Siegel and Svensson Method and Their Comparison," Springer Proceedings in Business and Economics, in: David Procházka (ed.), New Trends in Finance and Accounting, chapter 0, pages 791-801, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-49559-0_73
    DOI: 10.1007/978-3-319-49559-0_73
    as

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