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Synopsis
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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About the Author
YOLANDA STANDER heads a team of analysts developing financial models (yield curves and financial instruments) for Rand Merchant Bank, Johannesburg, South Africa. The author's focus in on market risk; she has extensive experience in financial forecasting and modelling, as well as working with various risk systems.
"About this title" may belong to another edition of this title.
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Gebunden. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. YOLANDA STANDER heads a team of analysts developing financial models (yield curves and financial instruments) for Rand Merchant Bank, Johannesburg, South Africa. The author s focus in on market risk she has extensive experience in financial forecasting and. Seller Inventory # 458479276
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Yield Curve Modeling
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Palgrave Macmillan UK Jun 2005, 2005
ISBN 10: 1403947260
ISBN 13: 9781403947260
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Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 188 pp. Englisch. Seller Inventory # 9781403947260
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Yield Curve Modeling (Finance and Capital Markets Series)
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Condition: New. Series: Finance and Capital Markets Series. Num Pages: 203 pages, 4 black & white illustrations, biography. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 159 x 241 x 17. Weight in Grams: 464. . 2005. 2005th Edition. hardcover. . . . . Seller Inventory # V9781403947260
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Yield Curve Modeling
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Buch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Seller Inventory # 9781403947260
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Yield Curve Modeling
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Yield Curve Modeling (Finance and Capital Markets Series)
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Condition: New. Series: Finance and Capital Markets Series. Num Pages: 203 pages, 4 black & white illustrations, biography. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 159 x 241 x 17. Weight in Grams: 464. . 2005. 2005th Edition. hardcover. . . . . Books ship from the US and Ireland. Seller Inventory # V9781403947260