Yield Curve Modeling
by
Y. Stander
Book Details
Format
Hardback or Cased Book
Book Series
Finance and Capital Markets Series
ISBN-10
1403947260
ISBN-13
9781403947260
Publisher
Palgrave USA
Imprint
Palgrave Macmillan
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Jun 23rd, 2005
Print length
188 Pages
Weight
464 grams
Dimensions
15.90 x 24.10 x 1.70 cms
Product Classification:
Investment & securitiesInvestment and securities
Ksh 44,200.00
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This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. Using actual market instruments, these models are then applied and the different yield curves are compared. Creating a yield curve model has some implications in risk management.
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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