Yield Curve Modelling At The Bank Of Canada
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Yield Curve Modelling At The Bank Of Canada
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Author : David Bolder
language : en
Publisher:
Release Date : 1999
Yield Curve Modelling At The Bank Of Canada written by David Bolder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Government securities categories.
Yield Curve Modelling At The Bank Of Canada
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Author : David Bolder
language : en
Publisher:
Release Date : 1999
Yield Curve Modelling At The Bank Of Canada written by David Bolder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Government securities categories.
Yield Curve Modeling
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Author : Y. Stander
language : en
Publisher: Springer
Release Date : 2005-06-23
Yield Curve Modeling written by Y. Stander and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-06-23 with Business & Economics categories.
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.
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.
Yield Curve Modelling At The Bank Of Canada
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Author : David Jamieson Bolder
language : en
Publisher:
Release Date : 2008
Yield Curve Modelling At The Bank Of Canada written by David Jamieson Bolder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
The primary objective of ...
Interest Rate Models Asset Allocation And Quantitative Techniques For Central Banks And Sovereign Wealth Funds
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Author : A. Berkelaar
language : en
Publisher: Springer
Release Date : 2009-11-30
Interest Rate Models Asset Allocation And Quantitative Techniques For Central Banks And Sovereign Wealth Funds written by A. Berkelaar and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-11-30 with Political Science categories.
This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.
Fixed Income Portfolio Analytics
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Author : David Jamieson Bolder
language : en
Publisher: Springer
Release Date : 2015-02-02
Fixed Income Portfolio Analytics written by David Jamieson Bolder and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-02 with Business & Economics categories.
The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples, the author also highlights the necessary technical tools and the common pitfalls that arise when working in this area. Finally, the book discusses tools for testing the reasonableness of the key analytics to help build and maintain confidence for using these techniques in day-to-day decision making. This will be of keen interest to risk managers, analysts and asset managers responsible for fixed-income portfolios.
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.
Changes in the shape of the yield curve have traditionally been one of the key macroeconomic indicators of a likely change in economic outlook. However, the recent financial crises have created a challenge to the management of monetary policy, demanding a revision in the way that policymakers model expected changes in the economy. This volume brings together central bank economists and leading academic monetary economists to propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future monetary policy and inflation; the analysis of the short-term dynamics of money market interest rates; the reliability of existing models in periods of extreme market volatility and how to adjust them accordingly; and the role of government debt and deficits in affecting sovereign bond yields and spreads. This book will interest financial researchers and practitioners as well as academic and central bank economists.
Credit Risk Modelling
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Author : David Jamieson Bolder
language : en
Publisher: Springer
Release Date : 2018-10-31
Credit Risk Modelling written by David Jamieson Bolder and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-31 with Business & Economics categories.
The risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, however, is only part of the story. Through use of exhaustive practical examples and extensive code illustrations in the Python programming language, this work also explicitly shows the reader how these models are implemented. Bringing these complex approaches to life by combining the technical details with actual real-life Python code reduces the burden of model complexity and enhances accessibility to this decidedly specialized field of study. The entire work is also liberally supplemented with model-diagnostic, calibration, and parameter-estimation techniques to assist the quantitative analyst in day-to-day implementation as well as in mitigating model risk. Written by an active and experienced practitioner, it is an invaluable learning resource and reference text for financial-risk practitioners and an excellent source for advanced undergraduate and graduate students seeking to acquire knowledge of the key elements of this discipline.
Bond Pricing And Yield Curve Modeling
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Author : Riccardo Rebonato
language : en
Publisher:
Release Date : 2018-06-07
Bond Pricing And Yield Curve Modeling written by Riccardo Rebonato and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-07 with Business & Economics categories.
Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.