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Yield Curve Modeling: Finance and Capital Markets Series

Autor Y. Stander
en Limba Engleză Paperback – 25 ian 2016
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.
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Specificații

ISBN-13: 9781349524273
ISBN-10: 1349524271
Dimensiuni: 155 x 235 mm
Ediția:1st ed. 2005
Editura: Palgrave Macmillan UK
Colecția Palgrave Macmillan
Seria Finance and Capital Markets Series

Locul publicării:London, United Kingdom

Cuprins

Concepts and Terminology Yield Curve Models Practical Issues Yield Curves in Practice Real Yield Curves Estimating Credit, Liquidity, and Country Risk Premiums Risk Issues

Notă biografică

YOLANDA STANDER heads a team of analysts developing financial models (yield curves and financial instruments) for Rand Merchant Bank, Johannesburg, South Africa. The author's focus in on market risk; she has extensive experience in financial forecasting and modelling, as well as working with various risk systems.