Yield Curve Modeling

Name: Yield Curve Modeling
Brand: Palgrave USA
SKU: 9781403947260
Price: 254.44 EUR
Availability: InStock

Autor: Yolanda Stander

Jazyk:

Väzba: Pevná

Vydavateľ: Palgrave USA

Dostupnosť: Skladom u dodávateľa

Odosielame za 10-18 dní

254.44 €

This book will give the reader insight into how to model yield curves in our incomplete and imperfec...

Informácie o knihe

Autor

Yolanda Stander

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2005

Stránok

188

EAN

9781403947260

ISBN

1403947260

Enbook ID

04776533

Vydavateľ

Palgrave USA

Hmotnosť

464

Rozmery

241 x 159 x 17

Kompletný popis

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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Yield Curve Modeling

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