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Yield curve modeling

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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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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

332.632042 YOL y

Penerbit

New York : Palgrave Macmillan., 2005

Deskripsi Fisik

205 hlm

Bahasa

English

ISBN/ISSN

9781403947260

Klasifikasi

332.632042

Tipe Isi

text

Tipe Media

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Tipe Pembawa

-

Edisi

Ed.1

Subjek

Umum
ebook

Info Detail Spesifik

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Pernyataan Tanggungjawab

Yolanda S. Stander

Versi lain/terkait

Lampiran Berkas

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