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Yield Curve Modeling
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Yield Curve Modeling Hardcover - 2005

by Y. Stander


From the publisher

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.

Details

  • Title Yield Curve Modeling
  • Author Y. Stander
  • Binding Hardcover
  • Pages 188
  • Volumes 1
  • Language ENG
  • Publisher Palgrave MacMillan
  • Date 2005-06-23
  • Features Bibliography, Dust Cover, Index
  • ISBN 9781403947260 / 1403947260
  • Weight 1.03 lbs (0.47 kg)
  • Dimensions 9.21 x 6.14 x 0.5 in (23.39 x 15.60 x 1.27 cm)
  • Library of Congress subjects Risk, Investments - Econometric models
  • Library of Congress Catalog Number 2005049193
  • Dewey Decimal Code 332.632

About the author

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.
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Yield Curve Modeling (Finance and Capital Markets Series)
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Yield Curve Modeling (Finance and Capital Markets Series)

by Y. Stander

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ISBN 10 / ISBN 13
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Palgrave MacMillan Publishing, 2005. 1. Hardcover. Good. Good in a Good dust jacket; Hardcover; Withdrawn library copy with the standard library markings; Dust jacket is edgeworn with creasing around the edges, but is present and intact, (Now fitted with a new,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.
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Yield Curve Modeling (Finance and Capital Markets Series)
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Yield Curve Modeling (Finance and Capital Markets Series)

by Stander, Y

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Hardcover
ISBN 10 / ISBN 13
9781403947260 / 1403947260
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Palgrave Macmillan. Hardcover. New. New. In shrink wrap. Looks like an interesting title!
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Yield Curve Modeling (Finance and Capital Markets Series)
Stock Photo: Cover May Be Different

Yield Curve Modeling (Finance and Capital Markets Series)

by Stander, Y

  • New
  • Hardcover
Condition
New
Binding
Hardcover
ISBN 10 / ISBN 13
9781403947260 / 1403947260
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Palgrave Macmillan. hardcover. New. 6x0x9. Brand New Book in Publishers original Sealing
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