Yield Curve Analysis

Author : Moorad Choudhry
Publisher : John Wiley & Sons
Page : 390 pages
File Size : 52,6 Mb
Release : 2019-04-15
Category : Business & Economics
ISBN : 9781119141051

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Analysing and Interpreting the Yield Curve by Moorad Choudhry Pdf

Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.

Author : Livingston G. Douglas
Publisher : Prentice Hall
Page : 664 pages
File Size : 42,8 Mb
Release : 1988
Category : Bonds
ISBN : UCSC:32106008427905

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Yield Curve Analysis by Livingston G. Douglas Pdf

With their increasing complexity, the fixed-income markets have made greater demands upon their participants. To be successful -- in this era of heightened volatility, especially -- requires a firm foundation in the precepts underlying the behavior of fixed-income investments. This book answers that need by presenting a comprehensive analysis of the two primary concepts: risk and return. Its four major sections develop and apply these concepts clearly and progressively, with outline and summary aids to enhance understanding and ample illustrations to reinforce the explanations.

Author : Riccardo Rebonato
Publisher : Unknown
Page : 781 pages
File Size : 48,6 Mb
Release : 2018-06-07
Category : Business & Economics
ISBN : 9781107165854

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Bond Pricing and Yield Curve Modeling by Riccardo Rebonato Pdf

Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.

Author : David Bolder,David Stréliski,Bank of Canada
Publisher : Unknown
Page : 56 pages
File Size : 45,9 Mb
Release : 1999
Category : Government securities
ISBN : 0662276027

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Yield Curve Modelling at the Bank of Canada by David Bolder,David Stréliski,Bank of Canada Pdf

Author : Francis X. Diebold,Glenn D. Rudebusch
Publisher : Princeton University Press
Page : 225 pages
File Size : 49,8 Mb
Release : 2013-01-15
Category : Business & Economics
ISBN : 9781400845415

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Yield Curve Modeling and Forecasting by Francis X. Diebold,Glenn D. Rudebusch Pdf

Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.

Author : Moorad Choudhry,Michele Lizzio
Publisher : Elsevier
Page : 272 pages
File Size : 43,9 Mb
Release : 2015-08-28
Category : Business & Economics
ISBN : 9780080999418

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Advanced Fixed Income Analysis by Moorad Choudhry,Michele Lizzio Pdf

Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry’s method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. Presents practitioner-level theories and applications, never available in textbooks Focuses on financial markets, not mathematics Covers relative value investing, returns analysis, and risk estimation

Author : Nicola Anderson
Publisher : Unknown
Page : 248 pages
File Size : 44,7 Mb
Release : 1996-06-04
Category : Business & Economics
ISBN : STANFORD:36105018453808

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Estimating and Interpreting the Yield Curve by Nicola Anderson Pdf

A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.

Author : Deborah Weir
Publisher : John Wiley & Sons
Page : 431 pages
File Size : 47,8 Mb
Release : 2006-04-20
Category : Business & Economics
ISBN : 9780471767640

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Timing the Market by Deborah Weir Pdf

The first definitive guide to understanding and profiting from the relationship between the stock market and interest rates It's well established that interest rates significantly impact the stock market. This is the first book that definitively explores the interest rate/stock market relationship and describes a specific system for profiting from the relationship. Timing the Market provides an historically proven system, rooted in fundamental economics, that allows investors and traders to forecast the stock market using data from the interest rate markets-together with supporting market sentiment and cultural indicators-to pinpoint and profit from major turns in the stock market. Deborah Weir (Greenwich, CT) is President of Wealth Strategies, a firm that does marketing for traditional money managers and hedge funds. She is a Chartered Financial Analyst and is the first woman president of the Stamford CFA Society.

Author : Anonim
Publisher : Unknown
Page : 221 pages
File Size : 48,5 Mb
Release : 1996
Category : Bonds
ISBN : OCLC:654952305

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Estimating and Interpreting the Yield Curve by Anonim Pdf

Author : M. Henrard
Publisher : Springer
Page : 300 pages
File Size : 41,9 Mb
Release : 2014-05-29
Category : Business & Economics
ISBN : 9781137374660

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Interest Rate Modelling in the Multi-Curve Framework by M. Henrard Pdf

Following the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework. The author provides a detailed analysis of the framework, through its foundations, evolution and implementation. The book also covers recent extensions to collateral and stochastic spreads modelling.

Author : Martin L. Leibowitz,Sidney Homer,Stanley Kogelman
Publisher : John Wiley & Sons
Page : 374 pages
File Size : 43,7 Mb
Release : 2013-04-29
Category : Business & Economics
ISBN : 9781118390139

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Inside the Yield Book by Martin L. Leibowitz,Sidney Homer,Stanley Kogelman Pdf

A completely updated edition of the guide to modern bond analysis First published in 1972, Inside the Yield Book revolutionized the fixed-income industry and forever altered the way investors looked at bonds. Over forty years later, it remains a standard primer and reference among market professionals. Generations of practitioners, investors, and students have relied on its lucid explanations, and readers needing to delve more deeply have found its explication of key mathematical relationships to be unmatched in clarity and ease of application. This edition updates the widely respected classic with new material from Martin L. Leibowitz. Along the way, it skillfully explains and makes sense of essential mathematical relationships that are basic to an understanding of bonds, annuities, and loans—in fact, any securities or investments that involve compound interest and the determination of present value for future cash flows. The book also includes a new foreword. Contains information that is more instructive, important, and useful than ever for mastering the crucial concepts of time, value, and return Combines the clear fixed-income insights found in the original edition with completely new knowledge to help you navigate today's dynamic market Includes over one hundred pages of new material on the role of bonds within the total portfolio In an era of calculators and computers, some of the important underlying principles covered here are not always grasped thoroughly by market participants. Investors, traders, and analysts who want to sharpen their ability to recall and apply these fundamentals will find Inside the Yield Book the perfect resource.

Author : Lindon J. Robison,Steven D. Hanson,J. Roy Black
Publisher : Unknown
Page : 0 pages
File Size : 51,8 Mb
Release : 2021
Category : Electronic
ISBN : OCLC:1374245034

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Financial Management for Small Businesses by Lindon J. Robison,Steven D. Hanson,J. Roy Black Pdf

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 53,6 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Kenneth D. Garbade
Publisher : MIT Press
Page : 490 pages
File Size : 50,6 Mb
Release : 1996
Category : Business & Economics
ISBN : 0262071762

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Fixed Income Analytics by Kenneth D. Garbade Pdf

Bringing together 20 papers written by, and for, practitioners in the US treasury, this text on fixed income analysis, focuses on applicable techniques, and presents quantitative methodologies for the analysis of fixed income securities.

Author : Mitsuru Katagiri
Publisher : International Monetary Fund
Page : 42 pages
File Size : 41,6 Mb
Release : 2018-11-09
Category : Business & Economics
ISBN : 9781484382370

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Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy by Mitsuru Katagiri Pdf

Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively correlated with cyclical income, thus enabling the model to replicate positive and sizable term premiums, along with the Phillips curve over business cycles. Quantitative analyses also emphasize the importance of monetary policy, predicting that a permanently low growth and low inflation environment would precipitate flatter yield curves due to constraints to monetary policy around the zero lower bound.