We estimate the parameters of Cox-Ingersoll-Ross two-factor Term Structure model using Maximum Likelihood Estimation(MLE) and Mean Squared Error method(MSE) for implementing in Korean Treasury market. We compare both methods in the adequacy for current term structure. The result is MSE is well representing current yield curves in Korean Treasury Market. However, we show that both methods are well fit in the case of short term interest rate. We have preferred No Arbitrage models to price derivatives because these models fit well current forward curves. However, this result implies that we can use reduced-form model in derivatives, especially Cox-Ingersoll-Ross multi-factor model. We, also, can use it price-discovery tools and strategic perspectives in Korean Treasury Market due to fitting well current spot interest rate curves.
