Yield Curve Modelling (Finance and Capital Markets Series)

Yolanda Stander

Published by Palgrave Macmillan, 2005
ISBN 10: 1403947260 / ISBN 13: 9781403947260
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Synopsis: 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, and it is also shown how yield curves can be used to estimate credit spreads and country risk premiums.

About the Author: Yolanda Stander heads a team of analysts developing financial models for Rand Merchant Bank, Johannesburg, South Africa. The author's focus in on market risk.

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Title: Yield Curve Modelling (Finance and Capital ...
Publisher: Palgrave Macmillan
Publication Date: 2005
Binding: Hardcover
Book Condition: New

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Book Description Palgrave Macmillan. Hardcover. Condition: Good. 1403947260 Good in a Good dust jacket; Hardcover; Withdrawn library copy with the standard library markings; Dust jacket is edgeworn with creasing around the edges, but is present and intact, (Now fitted with a new, Brodart jacket protector); Moderate wear to the boards; Library stamps to endpapers; Text pages clean & unmarked; Good binding with straight spine; This book will be stored and delivered in a sturdy cardboard box with foam padding; Medium Format (8.5" - 9.75" tall); 2005, Palgrave MacMillan Publishing; 188 pages; "Yield Curve Modeling (Finance and Capital Markets Series)," by Y. Stander. Seller Inventory # SKU-U44KK10011247

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Book Description Palgrave USA, United States, 2005. Hardback. Condition: New. 2005 ed.. Language: English. Brand new Book. 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. Seller Inventory # APC9781403947260

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