Yield Curve Modeling

Name: Yield Curve Modeling
Brand: Palgrave USA
SKU: 9781403947260
Price: 95258 HUF
Availability: InStock

Szerző: Yolanda Stander

Nyelv:

Kötés: Kemény kötésű

Kiadó: Palgrave USA

Elérhetőség: Beszállítói készleten

Küldés 10-18 napon belül

95 258 Ft

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

Információk a könyvről

Szerző

Yolanda Stander

Nyelv

Angol

Kötés

Könyv - Kemény kötésű

Kiadva

2005

oldal

188

EAN

9781403947260

ISBN

1403947260

Enbook ID

04776533

Kiadó

Palgrave USA

Súly

464

Méretek

241 x 159 x 17

Teljes leírás

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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