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Palgrave Macmillan
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Yield Curve Modeling

  • Book
  • © 2005

Overview

Authors:
  1. Yolanda S. Stander
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Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xv
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  2. Introduction

    • Yolanda S. Stander
    Pages 1-7

  3. Concepts and Terminology

    • Yolanda S. Stander
    Pages 8-32

  4. Yield Curve Models

    • Yolanda S. Stander
    Pages 33-52

  5. Practical Issues

    • Yolanda S. Stander
    Pages 53-74

  6. Yield Curves in Practice

    • Yolanda S. Stander
    Pages 75-114

  7. Real Yield Curves

    • Yolanda S. Stander
    Pages 115-132

  8. Estimating Credit, Liquidity, and Country Risk Premiums

    • Yolanda S. Stander
    Pages 133-155

  9. Risk Issues

    • Yolanda S. Stander
    Pages 156-171

  10. Back Matter

    Pages 173-188
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Keywords

About this 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.

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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