Yield Curve Modeling by Y Stander
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.-
Explaining and Forecasting the US Federal Funds Rate
-
Asset Management Standards
-
Advances in Risk Management
-
Asset Allocation and International Investments
-
Exchange Traded Funds as an Investment Option
-
The Economics of the Financial Crisis
-
Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
-
Diversification and Portfolio Management of Mutual Funds
-
Derivatives and Internal Models
-
The Taxation of Equity Derivatives and Structured Products
-
Investor Relations
-
Climate Trading
-
Energy Price Risk
-
Operational Risk Management
-
The Credit Risk of Complex Derivatives
-
Liquidity Risk
-
Adequate Decision Rules for Portfolio Choice Problems
-
Global Custody and Clearing Services
-
Strategy, Value and Risk - The Real Options Approach
-
Performance of Mutual Funds
-
Mergers and Acquisitions
-
Parimutuel Applications In Finance
-
The Electronic Financial Markets of the Future
-
Energy Risk Modeling
-
Quantitative Methods for Electricity Trading and Risk Management
-
Stock Market Developments in the Countries of the Gulf Cooperation Council
-
Active Fixed Income and Credit Management
-
The New Global Regulatory Landscape
-
Financial Lexicon
-
Risk Management Systems
-
Capital Market Instruments
-
Technology Management in Financial Services
-
International Financial Operations
-
Quantification of Operational Risk under Basel II
-
Energy Hedging in Asia: Market Structure and Trading Opportunities
-
Risk and Financial Catastrophe
-
Basel III Credit Rating Systems
-
The Insider's View on Corporate Governance
-
International Loan Documentation
-
Economic Capital and Financial Risk Management for Financial Services Firms and Conglomerates
-
Asia Pacific Derivative Markets
YOLANDA STANDER heads a team of analysts developing financial models (yield curves and financial instruments) for Rand Merchant Bank, Johannesburg, South Africa. The author's focus in on market risk; she has extensive experience in financial forecasting and modelling, as well as working with various risk systems.
| SKU | Unavailable |
| ISBN 13 | 9781403947260 |
| ISBN 10 | 1403947260 |
| Title | Yield Curve Modeling |
| Author | Y Stander |
| Series | Finance And Capital Markets Series |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Palgrave USA |
| Year published | 2005-06-23 |
| Number of pages | 188 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |