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Jurnal Ekonomi Malaysia

20 (December) 1989 3 – 17

Applying a Stochastic Model to the Tenn Structure of Interest Rates in Malaysia

Faculty of Finance
Ohio State University
1775 College Road
Columbus, OH 43210-1309 USA


Abstract

Malaysia’s money and bond markets are increasingly large, complex, and volatile. This paper explains how the Cox, Ingersoll, and Ross model of the term structure of interest rates can be used to value securities and manage risk in such an environment. Computational procedures are discussed and a parameter estimation method is demonstrated using a sample of Malaysian interbank deposit rates.

Author’s Acknowledgement

I thank Mr. Kwan Kwong Seong of the Economics Department of Bank Negara Malaysia for supplying data and providing other assistance with this project'.

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Bailey, (1989). Applying a Stochastic Model to the Tenn Structure of Interest Rates in Malaysia. Jurnal Ekonomi Malaysia, 20(December), 3–17.

@article{bailey1989applying,
  title={Applying a Stochastic Model to the Tenn Structure of Interest Rates in Malaysia},
  author={Bailey, Warren},
  journal={Jurnal Ekonomi Malaysia},
  volume={20},
  number={December},
  pages={3—17},
 

year={1989},
}

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