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© 2005

Yield Curve Modeling

  • Authors
Book

Part of the Finance and Capital Markets Series book series (FCMS)

Table of contents

  1. Front Matter
    Pages i-xv
  2. Yolanda S. Stander
    Pages 1-7
  3. Yolanda S. Stander
    Pages 8-32
  4. Yolanda S. Stander
    Pages 33-52
  5. Yolanda S. Stander
    Pages 53-74
  6. Yolanda S. Stander
    Pages 75-114
  7. Yolanda S. Stander
    Pages 115-132
  8. Yolanda S. Stander
    Pages 156-171
  9. Back Matter
    Pages 173-188

About this book

Introduction

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.

Keywords

business financial instruments financial market financial markets liquidity management modeling Risk Management science and technology

About the authors

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.

Bibliographic information

Industry Sectors
Finance, Business & Banking