Developments In Macro Finance Yield Curve Modelling
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Developments In Macro Finance Yield Curve Modelling
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Author : Jagjit S. Chadha
language : en
Publisher: Cambridge University Press
Release Date : 2014-02-06
Developments In Macro Finance Yield Curve Modelling written by Jagjit S. Chadha and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-06 with Business & Economics categories.
State-of-the-art research from academics and policymakers on the role of and challenges to monetary policy during the ongoing financial crisis.
Yield Curve Modeling And Forecasting
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Author : Francis X. Diebold
language : en
Publisher: Princeton University Press
Release Date : 2013-01-15
Yield Curve Modeling And Forecasting written by Francis X. Diebold and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-15 with Business & Economics categories.
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Developments In Macro Finance Yield Curve Modelling
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Author : Jagjit Chadha
language : en
Publisher:
Release Date : 2013
Developments In Macro Finance Yield Curve Modelling written by Jagjit Chadha and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
High Performance Computing In Finance
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Author : M. A. H. Dempster
language : en
Publisher: CRC Press
Release Date : 2018-02-21
High Performance Computing In Finance written by M. A. H. Dempster and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-21 with Computers categories.
High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HPC resources available for different needs, ranging from cloud computing– that can be used without much expertise and expense – to more tailored hardware, such as Field-Programmable Gate Arrays (FPGAs) or D-Wave’s quantum computer systems. High-Performance Computing in Finance is the first book that provides a state-of-the-art introduction to HPC for finance, capturing both academically and practically relevant problems.
Yield Curve Dynamics And Spillovers In Central And Eastern European Countries
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Author : Ms.Anita Tuladhar
language : en
Publisher: International Monetary Fund
Release Date : 2010-02-01
Yield Curve Dynamics And Spillovers In Central And Eastern European Countries written by Ms.Anita Tuladhar and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-01 with Business & Economics categories.
This paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to Central and Eastern European countries (CEE countries). Using the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve, the paper finds that the two-way relationship between macroeconomic and financial variables in the CEE countries is similar to the one in mature economies. However, inflation shocks have very little persistence in the CEE countries, owing to the strong convergence trends in these countries-which tend to re-anchor expectations faster. Increased convergence in policies and market integration over time are associated with a stronger correlation between the levels of the yield curves, while the curves slopes are more driven by idiosyncratic factors. Shifts in the euro yield curve are transmitted both to interest rates and inflation expectations in the CEE countries-and transmission is stronger after 2004.
Who Will Provide The Next Financial Model
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Author : Sahoko Kaji
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-19
Who Will Provide The Next Financial Model written by Sahoko Kaji and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-19 with Business & Economics categories.
During the past 4 years, faith in the present financial model has been shaken in terms of policy, regulation, the financial sector itself, and exchange-rate regimes. Past and present policies of the world’s most respected central banks have come under fire. Regulations that defined the system have undergone major reviews. Complicated financial instruments that provided new ways of financial intermediation have been exposed as culprits behind the financial meltdown. After 10 years of success, Europe’s single currency is under threat. In short, the established financial model not only has been unable to prevent the crisis but, arguably, has been a cause of it. There is no longer one obvious model that meets all needs. The burst of Japan’s bubble was followed by two “lost decades”. Before a contrite Japan completely adopted Western ways of finance, the “Lehman shock” hit, followed by the euro crisis. Monetary policy, financial regulation and the state of the financial sector all must be reconsidered. Currencies and exchange rates make up another important aspect of finance. If the Western model of finance is discredited, does that mean the dominance of Western currencies is also eroded? What does the crisis in the euro area tell us about exchange rate regimes in general? Clearly, a new model is needed, one that is conducive to both stability and prosperity. But who will provide it? This volume records the cumulative results of three EU Studies Institute (EUSI) conferences that have addressed these issues, and examines how Asia and Europe compare in the quest for the next financial model. While many books on Europe and Asia focus on integration and what Asia can learn from Europe, this book emphasizes mutual lessons in the common search for a new model. EU Studies Institute The EU Studies Institute in Tokyo (EUSI) was launched on 1 April 2009 as a consortium comprising Hitotsubashi University, Tsuda College, and Keio University. The Institute is sponsored by the European Commission for a four-and-a-half-year period. As a centre for academic education, research and outreach, it aims to strengthen EU–Japan relations. Details are at http://eusi.jp/content_en/
World Economic Outlook October 2016
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Author : International Monetary Fund. Research Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2016-10-04
World Economic Outlook October 2016 written by International Monetary Fund. Research Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-04 with Business & Economics categories.
According to the October 2016 "World Economic Outlook," global growth is projected to slow to 3.1 percent in 2016 before recovering to 3.4 percent in 2017. The forecast, revised down by 0.1 percentage point for 2016 and 2017 relative to April’s report, reflects a more subdued outlook for advanced economies following the June U.K. vote in favor of leaving the European Union (Brexit) and weaker-than-expected growth in the United States. These developments have put further downward pressure on global interest rates, as monetary policy is now expected to remain accommodative for longer. Although the market reaction to the Brexit shock was reassuringly orderly, the ultimate impact remains very unclear, as the fate of institutional and trade arrangements between the United Kingdom and the European Union is uncertain. Financial market sentiment toward emerging market economies has improved with expectations of lower interest rates in advanced economies, reduced concern about China’s near-term prospects following policy support to growth, and some firming of commodity prices. But prospects differ sharply across countries and regions, with emerging Asia in general and India in particular showing robust growth and sub-Saharan Africa experiencing a sharp slowdown. In advanced economies, a subdued outlook subject to sizable uncertainty and downside risks may fuel further political discontent, with anti-integration policy platforms gaining more traction. Several emerging market and developing economies still face daunting policy challenges in adjusting to weaker commodity prices. These worrisome prospects make the need for a broad-based policy response to raise growth and manage vulnerabilities more urgent than ever.
Quantitative Finance And Risk Management A Physicist S Approach 2nd Edition
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Author : Jan W Dash
language : en
Publisher: World Scientific Publishing Company
Release Date : 2016-05-10
Quantitative Finance And Risk Management A Physicist S Approach 2nd Edition written by Jan W Dash and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-10 with Business & Economics categories.
Written by a physicist with extensive experience as a risk/finance quant, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the 'how to' and 'what it's like' aspects not covered in textbooks or papers. A 'Technical Index' indicates the mathematical level for each chapter.This second edition includes some new, expanded, and wide-ranging considerations for risk management: Climate Change and its long-term systemic risk; Markets in Crisis and the Reggeon Field Theory; 'Smart Monte Carlo' and American Monte Carlo; Trend Risk — time scales and risk, the Macro-Micro model, singular spectrum analysis; credit risk: counterparty risk and issuer risk; stressed correlations — new techniques; and Psychology and option models.Solid risk management topics from the first edition and valid today are included: standard/advanced theory and practice in fixed income, equities, and FX; quantitative finance and risk management — traditional/exotic derivatives, fat tails, advanced stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, and a function toolkit; risk lab — the nuts and bolts of risk management from the desk to the enterprise; case studies of deals; Feynman path integrals, Green functions, and options; and 'Life as a Quant' — communication issues, sociology, stories, and advice.
Macroprudential Policy And Practice
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Author : Paul Mizen
language : en
Publisher: Cambridge University Press
Release Date : 2018-08-23
Macroprudential Policy And Practice written by Paul Mizen and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-08-23 with Business & Economics categories.
A guide to the latest theoretical developments in macroprudential policy, the newest tool in central banking policymaking circles.
The Oxford Handbook Of The Economics Of Central Banking
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Author : David G. Mayes
language : en
Publisher: Oxford University Press
Release Date : 2019-02-15
The Oxford Handbook Of The Economics Of Central Banking written by David G. Mayes and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-15 with Business & Economics categories.
The economic influence of central banks has received ever more attention given their centrality during the financial crises that led to the Great Recession, strains in the European Union, and the challenges to the Euro. The Oxford Handbook of the Economics of Central Banking reflects the state of the art in the theory and practice and covers a wide range of topics that will provide insight to students, scholars, and practitioners. As an up to date reference of the current and potential challenges faced by central banks in the conduct of monetary policy and in the search for the maintenance of financial system stability, this Oxford Handbook covers a wide range of essential issues. The first section provides insights into central bank governance, the differing degrees of central bank independence, and the internal dynamics of their decision making. The next section focuses on questions of whether central banks can ameliorate fiscal burdens, various strategies to affect monetary policy, and how the global financial crisis affected the relationship between the traditional focus on inflation targeting and unconventional policy instruments such as quantitative easing (QE), foreign exchange market interventions, negative interest rates, and forward guidance. The next two sections turn to central bank communications and management of expectations and then mechanisms of policy transmission. The fifth part explores the challenges of recent developments in the economy and debates about the roles central banks should play, focusing on micro- and macro-prudential arguments. The implications of recent developments for policy modeling are covered in the last section. The breadth and depth enhances understanding of the challenges and opportunities facing central banks.