Yield Curve Modeling:
This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. An extensive list of yield curve models are shown and discussed. Using actual market instruments, these models are then applied and the different yield curves are compared. It is...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
London
Palgrave Macmillan UK
2005
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| Online-Zugang: | DE-12 DE-634 DE-526 DE-521 DE-1043 DE-M347 DE-92 DE-898 DE-1049 DE-523 DE-Re13 DE-91 DE-473 DE-19 DE-355 DE-703 DE-20 DE-706 DE-824 DE-29 DE-739 Volltext |
| Zusammenfassung: | This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. An extensive list of yield curve models are shown and discussed. Using actual market instruments, these models are then applied and the different yield curves are compared. It is assumed that the reader has a basic understanding of the financial instruments available in the market. Various issues that have to be taken into account in practice are discussed, like daycount conventions, business-day rules, the credit quality of the instrument and liquidity to name but a few. It is also shown how yield curves can be used to estimate credit spreads and country risk premiums. Creating a yield curve model has some implications in risk management. Specifically - the model, operational, liquidity and basis risks are discussed |
| Beschreibung: | 1 Online-Ressource (XV, 188 Seiten) |
| ISBN: | 9780230513747 |
| DOI: | 10.1057/9780230513747 |
Internformat
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Datensatz im Suchindex
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| spelling | Stander, Yolanda S. aut Yield Curve Modeling by Yolanda S. Stander London Palgrave Macmillan UK 2005 1 Online-Ressource (XV, 188 Seiten) txt rdacontent c rdamedia cr rdacarrier This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. An extensive list of yield curve models are shown and discussed. Using actual market instruments, these models are then applied and the different yield curves are compared. It is assumed that the reader has a basic understanding of the financial instruments available in the market. Various issues that have to be taken into account in practice are discussed, like daycount conventions, business-day rules, the credit quality of the instrument and liquidity to name but a few. It is also shown how yield curves can be used to estimate credit spreads and country risk premiums. Creating a yield curve model has some implications in risk management. Specifically - the model, operational, liquidity and basis risks are discussed Business Business enterprises / Finance Investment banking Securities Macroeconomics Erscheint auch als Druck-Ausgabe 9781349524280 https://doi.org/10.1057/9780230513747 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Stander, Yolanda S. Yield Curve Modeling Business Business enterprises / Finance Investment banking Securities Macroeconomics |
| title | Yield Curve Modeling |
| title_auth | Yield Curve Modeling |
| title_exact_search | Yield Curve Modeling |
| title_exact_search_txtP | Yield Curve Modeling |
| title_full | Yield Curve Modeling by Yolanda S. Stander |
| title_fullStr | Yield Curve Modeling by Yolanda S. Stander |
| title_full_unstemmed | Yield Curve Modeling by Yolanda S. Stander |
| title_short | Yield Curve Modeling |
| title_sort | yield curve modeling |
| topic | Business Business enterprises / Finance Investment banking Securities Macroeconomics |
| topic_facet | Business Business enterprises / Finance Investment banking Securities Macroeconomics |
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