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Yield Curve Modeling Y. Stander

Yield Curve Modeling By Y. Stander

Yield Curve Modeling by Y. Stander


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Summary

This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. Using actual market instruments, these models are then applied and the different yield curves are compared. Creating a yield curve model has some implications in risk management.

Yield Curve Modeling Summary

Yield Curve Modeling by Y. Stander

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.

About Y. Stander

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.

Table of Contents

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

Additional information

NLS9781349524280
9781349524280
134952428X
Yield Curve Modeling by Y. Stander
New
Paperback
Palgrave Macmillan
2005-06-23
188
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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