Detalls del llibre
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.
Llegir més - Autor/a Y. Stander
- ISBN13 9781403947260
- ISBN10 1403947260
- Pàgines 188
- Any Edició 2005
- Fecha de publicación 23/06/2005
- Idioma Alemany, Francès
Ressenyes i valoracions
Yield Curve Modeling (Alemany, Francès)
- De
- Y. Stander
- |
- Springer (2005)
- 9781403947260



