Y Stander

(Author)

Yield Curve Modeling (2005)Hardcover - 2005, 23 June 2005

Yield Curve Modeling (2005)
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Part of Series
Finance and Capital Markets
Part of Series
Finance & Capital Markets S
Print Length
188 pages
Language
English
Publisher
Palgrave MacMillan
Date Published
23 Jun 2005
ISBN-10
1403947260
ISBN-13
9781403947260

Description

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.

Product Details

Author:
Y Stander
Book Edition:
2005
Book Format:
Hardcover
Country of Origin:
US
Date Published:
23 June 2005
Dimensions:
23.39 x 15.6 x 1.27 cm
ISBN-10:
1403947260
ISBN-13:
9781403947260
Language:
English
Location:
London
Pages:
188
Weight:
467.2 gm

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