Yield curve modeling


Yield curve modeling

Yolanda S. Stander

Palgrave Macmillan, 2005

大学図書館所蔵 件 / 5



Includes bibliographical references (p. 173-179) and index



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.


Concepts and Terminology Yield Curve Models Practical Issues Yield Curves in Practice Real Yield Curves Estimating Credit, Liquidity, and Country Risk Premiums Risk Issues

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