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Author : Kentaro Kikuchi
Publisher :
ISBN 13 :
Total Pages : 59 pages
Book Rating : 4.:/5 (824 download)
Download or read book Comparative Analysis of Zero Coupon Yield Courve Estimation Methods Using JGB Price Data written by Kentaro Kikuchi and published by . This book was released on 2012 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Ferstl
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Zero Coupon Yield Curve Estimation with the Package Termstrc written by Robert Ferstl and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Since zero-coupon rates are rarely directly observable, they have to be estimated from market data. In this paper we review several widely-used parametric term structure estimation methods. We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Moreover, we introduce the R package termstrc, which offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. It provides extensive summary statistics and plots to compare the results of the different estimation methods. We illustrate the application of the package through practical examples using market data from European government bonds and yields.
Author :
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (891 download)
Download or read book Monetary and Economic Studies written by and published by . This book was released on 2012 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shigeyuki Hamori
Publisher : MDPI
ISBN 13 : 3039362240
Total Pages : 230 pages
Book Rating : 4.0/5 (393 download)
Download or read book AI and Financial Markets written by Shigeyuki Hamori and published by MDPI. This book was released on 2020-07-01 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) is regarded as the science and technology for producing an intelligent machine, particularly, an intelligent computer program. Machine learning is an approach to realizing AI comprising a collection of statistical algorithms, of which deep learning is one such example. Due to the rapid development of computer technology, AI has been actively explored for a variety of academic and practical purposes in the context of financial markets. This book focuses on the broad topic of “AI and Financial Markets”, and includes novel research associated with this topic. The book includes contributions on the application of machine learning, agent-based artificial market simulation, and other related skills to the analysis of various aspects of financial markets.
Author : B. F. Hunt
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (222 download)
Download or read book Zero-coupon Yield Curve Estimation written by B. F. Hunt and published by . This book was released on 1998 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ramaprasad Bhar
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (129 download)
Download or read book Construction of Zero-Coupon Yield Curve from Coupon Bond Yield Using Australian Data written by Ramaprasad Bhar and published by . This book was released on 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper briefly surveys the various approaches to modelling the zero coupon yield curve is the starting point for much finance research. The method adopted here for the Australian Treasury bond data is based upon polynomial spline fitting, but with the constraint that the long end of the term structure is stable. This approach has also been successfully applied to the Danish bond market (Tanggaard and Jakobsen (1988)). The forward rate curve then becomes the important input data for the modelling of the term structure of interest rates and pricing of interest rate contingent claims using the Heath-Jarrow-Morton (1992) model.
Author : Srichander Ramaswamy
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Estimation of the Zero Coupon Swap Yield Curve written by Srichander Ramaswamy and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The term structure of interest rates plays a central role in the valuation, pricing and management of interest rate dependent securities. In this paper I focus on the application of the B-Spline methodology to construct zero coupon and forward rate curves for the swap market. By allowing the placements of the knot points for the B-splines to be part of the optimisation process it is possible to construct smooth zero coupon curves that do not violate the bid-ask constraints of the market rates/prices observed.
Author : Paul Fourie Du Preez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (956 download)
Download or read book An Investigation Into Popular Methods for Constructing Yield Curves written by Paul Fourie Du Preez and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation we survey a variety of methods for constructing zero-coupon yield curves. We show that, when accuracy is of the utmost importance, the bootstrap described by Hagan and West (2006), Smit (2000), and Daeves and Parlar (2000) provides the ideal framework. This bootstrap requires the use of an interpolation algorithm, and a large portion of this dissertation will thus be devoted to the task of establishing an ideal method for interpolating yield curve data. Only two of the interpolation methods considered in this dissertation are seen to perform promisingly: the monotone convex method developed by Hagan and West (2006), and the monotone preserving r(t)t method developed in this dissertation. We show that the monotone preserving r(t)t method performs slightly better than the monotone convex method, in terms of the continuity of the forward curve, and in terms of the stability of the interpolation function. When economic appeal is of the utmost importance, we find parametric models to be more suitable than bootstrapping. However, we show that bootstrapping can be used to obtain a hypothetical set of zero-coupon bond prices, which can be used to calibrate parametric models. We compare the performance of the Nelson and Siegel (1987) and Svensson (1992) models, when applied to a historic set of South African swap curves, and show that the Svensson (1992) model performs better than the Nelson and Siegel (1987) model on a consistent basis. Copyright.
Author : Ben S. Bernanke
Publisher : www.bnpublishing.com
ISBN 13 : 9781607961055
Total Pages : 0 pages
Book Rating : 4.9/5 (61 download)
Download or read book Monetary Policy Alternatives at the Zero Bound written by Ben S. Bernanke and published by www.bnpublishing.com. This book was released on 2009-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The success over the years in reducing inflation and, consequently, the average level of nominal interest rates has increased the likelihood that the nominal policy interest rate may become constrained by the zero lower bound. When that happens, a central bank can no longer stimulate aggregate demand by further interest-rate reductions and must rely on "non-standard" policy alternatives. To assess the potential effectiveness of such policies, we analyze the behavior of selected asset prices over short periods surrounding central bank statements or other types of financial or economic news and estimate "noarbitrage" models of the term structure for the United States and Japan. There is some evidence that central bank communications can help to shape public expectations of future policy actions and that asset purchases in large volume by a central bank would be able to affect the price or yield of the targeted asset.
Author : Mr.Calixte Ahokpossi
Publisher : International Monetary Fund
ISBN 13 : 1475526296
Total Pages : 31 pages
Book Rating : 4.4/5 (755 download)
Download or read book Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco written by Mr.Calixte Ahokpossi and published by International Monetary Fund. This book was released on 2016-08-16 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve in Morocco during 2004–14 based on the Dynamic Nelson-Siegel model. On this basis, we explore the interaction between macroeconomic variables and the yield curve, which is of direct relevance to macroeconomic policy-making. In Morocco’s context, we find that tighter monetary policy increases short-end maturities, and that the impact is small and short-lived. Economic activity is also briefly but significantly impacted, suggesting that even under a pegged exchange rate, monetary policy autonomy and effectiveness can be increased through greater central bank independence. Fiscal improvements significantly lower yield levels. Policy conclusions are that improvement in the fiscal and monetary policy frameworks, as well as greater financial sector development and inclusion, could benefit Morocco and strengthen the transmission mechanisms and effectiveness of macroeconomic policies.
Author :
Publisher :
ISBN 13 :
Total Pages : 604 pages
Book Rating : 4.E/5 ( download)
Download or read book Risk written by and published by . This book was released on 2003-07 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Ralph Chami
Publisher : International Monetary Fund
ISBN 13 : 1513531867
Total Pages : 26 pages
Book Rating : 4.5/5 (135 download)
Download or read book Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment written by Mr.Ralph Chami and published by International Monetary Fund. This book was released on 2020-03-13 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Author : Patrick J. Brown
Publisher : Global Professional Publishi
ISBN 13 : 9781888998559
Total Pages : 112 pages
Book Rating : 4.9/5 (985 download)
Download or read book Bond Markets written by Patrick J. Brown and published by Global Professional Publishi. This book was released on 1998 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: As cross-market bond trading has increased, it has becomevital for international participants to understand themany different features that characterize the variousinternational bond markets. Of particular interest tobond traders and investors are such factors ascalculation of prices, accrued interest, yields, anddurations. Bond ......
Author : Valerie Cragin
Publisher : Petersen Publishing Company
ISBN 13 : 9780822740452
Total Pages : 164 pages
Book Rating : 4.7/5 (44 download)
Download or read book Method Modeling written by Valerie Cragin and published by Petersen Publishing Company. This book was released on 1980-08 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 149832892X
Total Pages : 39 pages
Book Rating : 4.4/5 (983 download)
Download or read book Guidelines for Public Debt Management -- Amended written by International Monetary Fund and published by International Monetary Fund. This book was released on 2003-09-12 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: NULL
Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1484313437
Total Pages : 109 pages
Book Rating : 4.4/5 (843 download)
Download or read book Japan written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2017-07-31 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the stability of the financial system in Japan. Although the financial system has remained stable, the low profitability environment is creating new risks, and pressures are likely to persist. The search for yield among banks has led some to expand their overseas activities, and more generally to a growth in real estate lending and foreign securities investments. Efforts to increase risk-based lending to small-and medium-sized enterprises are welcome, but many banks still need to develop commensurate credit assessment capacities. Stress tests suggest that the banking sector remains broadly sound, although market risks are increasing, and there are some vulnerabilities among regional banks.
Author : A. Sutherland
Publisher : Springer
ISBN 13 : 1137030690
Total Pages : 315 pages
Book Rating : 4.1/5 (37 download)
Download or read book The Front Office Manual written by A. Sutherland and published by Springer. This book was released on 2013-11-26 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Front Office Manual is unique, providing clear and direct explanations of tools and techniques relevant to front office work. From how to build a yield curve, to how a swap works, to what exactly 'product control' is supposed to do, this book is essential reading for anyone who works (or wants to work) on the 'sell side'.
