Yield Curve Modeling

Y. Stander

ISBN 10: 1403947260 / ISBN 13: 9781403947260

Edité par Springer Nature Singapore Jun 2005, 2005

A propos de cet article

This item is printed on demand - it takes 3-4 days longer - Neuware -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. 188 pp. Englisch.

N° de réf. du vendeur 9781403947260

Détails bibliographiques

• Titre: Yield Curve Modeling
• Éditeur: Springer Nature Singapore Jun 2005
• Date de parution: 2005
• Langue: anglais
• ISBN à 10 chiffres: 1403947260
• ISBN à 13 chiffres: 9781403947260
• Reliure: Buch
• État de l'article: Neu
• Dimensions: 242 L x 162 H x 19 P (en millimètres) 242 millimètres de largeur par 162 millimètres de hauteur par 19 millimètres de profondeur
• Poids: 464 grammes

A propos de ce titre

Synopsis

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.

À propos de l?auteur

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.