Yield Curve Modeling (Paperback, 1st ed. 2005)

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.

General

Imprint:	Palgrave Macmillan
Country of origin:	United Kingdom
Series:	Finance and Capital Markets Series
Release date:	June 2005
First published:	2005
Authors:	Y. Stander
Dimensions:	235 x 155 x 11mm (L x W x T)
Format:	Paperback
Pages:	188
Edition:	1st ed. 2005
ISBN-13:	978-1-349-52428-0
Categories:	Books > Business & Economics > Economics > Macroeconomics > General Books > Business & Economics > Finance & accounting > Finance > Corporate finance Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Corporate finance Books > Money & Finance > Investment & securities > General Promotions
LSN:	1-349-52428-X
Barcode:	9781349524280

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