Same-industry information processing method based on a segmented steady long-term interest rate interpolation method
An information processing method and interpolation method technology, applied in the field of information processing, can solve problems such as lag, intensified inter-bank credit stratification, and inter-bank credit impact
Pending Publication Date: 2021-06-04
重庆富民银行股份有限公司
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Problems solved by technology
[0002] At present, the interbank credit risk breaks the rigid exchange rate, which triggers the re-pricing of risks by the same industry system, leading to credit stratification in the inter-industry market of banks. Investors also need to consider various factors such as the level of yield and risk when choosing wealth management products, and the stratification of interbank credit has intensified.
However, interbank credit affects the development of interbank business. As an important basis for the development of interbank business, interbank ratings mainly rely on the release of information from authoritative rating agencies. There is a certain lag and there is a certain deviation from the real institutional credit situation in the interbank market.
At the same time, the development of interbank business is not compatible with the market
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[0043] The following is further described in detail through specific implementation methods:
[0044] In one embodiment, refer to as figure 1 As shown, the interbank information processing method based on the segmented constant forward rate interpolation method is to obtain the key term yield curve and the corresponding ChinaBond valuation in the open market through steps S100 to S400, and then Based on the segmented constant forward interest rate interpolation method, the complete surviving certificate of deposit yield curve is restored according to the key term yield curve of the target institution and the corresponding ChinaBond valuation; specifically, according to multiple key terms in a year, respectively Based on the yield curve of the target institution's surviving certificates in the open market and the corresponding ChinaBond valuation, the complete surviving certificates of deposit yield curve is restored based on the segmented constant forward interest rate interpola...
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The invention discloses a same-industry information processing method based on a segmented steady long-term interest rate interpolation method, belongs to the technical field of information processing, and provides the following scheme: obtaining a critical deadline yield curve of a target institution in a public market and a corresponding debt estimation value; on the basis of a segmented steady long-term interest rate interpolation method, according to the critical deadline return rate curve and the corresponding debt estimation value, restoring a complete stock receipt return rate curve; obtaining the survivability receipt with the longest remaining deadline of the target institution, and substituting the remaining deadline into the recovered survivability receipt yield curve to calculate a debt estimation value on the yield curve corresponding to the remaining deadline of the target institution; and judging the implicit rating of the target institution according to the calculated debt estimation value on the return rate curve corresponding to the remaining deadline of the target institution. According to the invention, the effectiveness of same-industry information processing is enhanced, and the conformity of same-industry business development of banks is improved.
Description
technical field [0001] The invention relates to the technical field of information processing, in particular to an interbank information processing method based on a segmented constant forward interest rate interpolation method. Background technique [0002] At present, the interbank credit risk breaks the rigid exchange rate, triggering the re-pricing of risks by the same industry system, leading to credit stratification in the inter-industry market of banks. Investors also need to consider various factors such as the level of yield and risk when choosing wealth management products, and the stratification of interbank credit has intensified. Interbank credit affects the development of interbank business. As an important basis for the development of interbank business, interbank ratings mainly rely on the release of information from authoritative rating agencies. There is a certain lag and there is a certain deviation from the real institutional credit situation in the inter...
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Login to View More IPC IPC(8): G06Q40/02
CPCG06Q40/03
Inventor 王雪乔黄金竹
Owner 重庆富民银行股份有限公司