Yield Curve Modeling
ISBN:
9781403947260
Auflage:
2005
Verlag:
Palgrave Macmillan UK
Land des Verlags:
Vereinigtes Königreich
Erscheinungsdatum:
23.06.2005
Reihe:
Finance and Capital Markets Series
Format:
Hardcover
Seitenanzahl:
188
Lieferung in 3-4 Werktagen
Versandkostenfrei ab 40 Euro in Österreich
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.
Biografische Anmerkung
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.
