Yield Curve Modeling
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...

Ausführliche Beschreibung

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Bibliographische Detailangaben
1. Verfasser: Stander, Yolanda S. (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: London Palgrave Macmillan UK 2005
Schlagworte:
Business
Business enterprises / Finance
Investment banking
Securities
Macroeconomics
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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

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