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.
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Book Description
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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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1 of 2 people found the following review helpful:
5.0 out of 5 stars
great yield curve,
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This review is from: Yield Curve Modelling (Finance and Capital Markets Series) (Hardcover)
This book introduce yield curve model in depth. In the market, it is not easy to find book about yield curve. In most case, yield
curve would be a chapter of one financial engineering. It would not be introduced so further. I encourage people who want to learn something in interest rate, it would be a great choice
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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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empirical yield curve models, following business day rule, bootstrap formulae, yield curve modeling, pivot risk, zero curve derived, annual real coupon, deriving yield curves, zero rate curve, credit spread term structure, derive the yield curve, jth cash flow, daycount convention, business day rules, swap maturity dates, real yield curves, inflation term structure, outstanding cash flows, yield curve function, credit spread curve, mean reversion rate, resulting yield curve, convexity adjustment, tenor points, estimating credit Key Phrases - Capitalized Phrases (CAPs): (learn more)
South African, Bond Yield Coupon Maturity, Republic of South Africa Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
empirical yield curve models, following business day rule, bootstrap formulae, yield curve modeling, pivot risk, zero curve derived, annual real coupon, deriving yield curves, zero rate curve, credit spread term structure, derive the yield curve, jth cash flow, daycount convention, business day rules, swap maturity dates, real yield curves, inflation term structure, outstanding cash flows, yield curve function, credit spread curve, mean reversion rate, resulting yield curve, convexity adjustment, tenor points, estimating credit Key Phrases - Capitalized Phrases (CAPs): (learn more)
South African, Bond Yield Coupon Maturity, Republic of South Africa Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
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