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
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