Pages: 19-36
Published: 30.08.2017
Abstract: The work is devoted to analysis of real data on yields of foreign currency government securities (GS) of the Republic of Kazakhstan: a fixed interest rate type - "yield to maturity date", developed a model using gauges degrees of volatility and risk changes yield GS are calculated (in%) interest rate risk values of the form "risk of changes in the yield to maturity date" for high-risk (for Criteria 1 and 2) financial instruments (FI). Table "object property" X131,6, yield values of the nodes 6 intervals yield curve temporal structure is interpreted as a multidimensional sample of the general population with an unknown probability distribution. Using principal component analysis in process performance for multivariate data solved the problem of allocation of 6 independent combinations of new financial instruments (NFI). Resolves an almost essential for banks to task allocation (by the Diekmann-Kaiser criterion) 3 local high-risk portfolios: NFI №1, NFI №2, NFI №3, each marked by the NFI Criteria 1 and 2, and calculated almost "visible" changes the values of yield risk to the date of maturity" for high-risk FI.
Key words: yield curve, yield to maturity date, time structure of interest rates, principal component analysis.
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