Yield Curve Modeling

ISBN-13: 9781349524280 / Angielski / Miękka / 2005 / 188 str.

Yolanda S. Stander; Y. Stander

Opis

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.

Spis treści

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

O autorze

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.