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...

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Detalles Bibliográficos
Autor principal: Stander, Yolanda S. (-)
Autor Corporativo: SpringerLink (-)
Formato: Libro electrónico
Idioma:Inglés
Publicado: London : Palgrave Macmillan UK : Imprint: Palgrave Macmillan 2005.
Colección:Finance and Capital Markets Series.
Springer eBooks.
Acceso en línea:Conectar con la versión electrónica
Ver en Universidad de Navarra:https://innopac.unav.es/record=b36147758*spi
Descripción
Sumario: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.
Descripción Física:XV, 188 p. 4 illus
Formato:Forma de acceso: World Wide Web.
ISBN:9780230513747