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Constructing the yield curve for Brazilian debentures using Nelson-Siegel parameterization

The aim of this work is to establish a term structure of interest rates for corporate bonds in the Brazilian market, using the Nelson-Siegel model (1987). The yield curves were divided by the type of index and the rating level. It was possible to measure the spread between the corporate bonds market and the government bonds market.

yield curve; corporate bonds; Nelson-Siegel model; spread


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