Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Zero Coupon Yield Curve Estimation With The Package Termstrc
Download Zero Coupon Yield Curve Estimation With The Package Termstrc full books in PDF, epub, and Kindle. Read online Zero Coupon Yield Curve Estimation With The Package Termstrc ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Zero Coupon Yield Curve Estimation with the Package Termstrc by : Robert Ferstl
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.
Book Synopsis Zero-coupon Yield Curve Estimation by : B. F. Hunt
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:
Book Synopsis Investing in Mortgage-Backed and Asset-Backed Securities, + Website by : Glenn M. Schultz
Download or read book Investing in Mortgage-Backed and Asset-Backed Securities, + Website written by Glenn M. Schultz and published by John Wiley & Sons. This book was released on 2016-01-26 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities Mortgage- and asset-backed securities are not as complex as they might seem. In fact, all of the information, financial models, and software needed to successfully invest in and manage a portfolio of these securities are available to the investment professional through open source software. Investing in Mortgage and Asset-Backed Securities + Website shows you how to achieve this goal. The book draws entirely on publicly available data and open source software to construct a complete analytic framework for investing in these securities. The analytic models used throughout the book either exist in the quantlib library, as an R package, or are programmed in R and incorporated into the analytic framework used. Examines the valuation of fixed-income securities—metrics, valuation framework, and return analysis Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS Discusses prepayment modeling and the valuation of mortgage credit Presents mortgage-backed securities valuation techniques—pass-through valuation and interest rate models Engaging and informative, this book skillfully shows you how to build, rather than buy, models and proprietary analytical platforms that will allow you to invest in mortgage- and asset-backed securities.
Book Synopsis The Moorad Choudhry Anthology, + Website by : Moorad Choudhry
Download or read book The Moorad Choudhry Anthology, + Website written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2018-07-18 with total page 1332 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive and timeless guide to the principles of banking and finance, addressing and meeting the challenges of competition, strategy, regulation and the digital age. Moorad Choudhry Anthology compiles the best of renowned author Professor Moorad Choudhry's incisive writings on financial markets and bank risk management, together with new material that reflects the legislative changes in the post-crisis world of finance and the impact of digitization and global competition. Covering the developments and principles of banking from the 1950s to today, this unique book outlines the author's recommended best practices in all aspects of bank strategy, governance and risk management, including asset-liability management, liquidity risk management, capital planning, Treasury risk, and corporate framework, and describes a "vision of the future" with respect to a sustainable bank business model. You will gain the insight of a global authority on topics essential to retail, corporate, and investment/wholesale banking, including strategy, risk appetite, funding policies, regulatory requirements, valuation, and much more. The companion website is a goldmine for senior practitioners that provides templates that can applied in virtually any bank, including policy documents, pricing models, committee terms of reference, teaching aids and learning tools including PowerPoint slides and spreadsheet models. These facilitate a deeper understanding of the subject and the requirements of the senior executive, making this book an ideal companion for practitioners, graduate students and professional students alike. The intense demand for knowledge and expertise in asset-liability management, liquidity, and capital management has been driven by the regulatory challenges of Basel III, the European Union’s CRDIV, the Volcker Rule, Dodd-Frank Act, and a myriad of other new regulations. This book meets that need by providing you with a complete background and modern insight on every aspect of bank risk management. Re-engage with timeless principles of finance that apply in every market and which are the drivers of principles of risk management Learn strategic asset liability management practices that suit today's economic environment Adopt new best practices for liquidity models and choosing the appropriate liquidity risk management framework Examine optimum capital and funding model recommendations for corporate, retail, and investment/wholesale banks Dig deeper into derivatives risk management, balance sheet capital management, funding policy, and more Apply best-practice corporate governance frameworks that ensure a perpetual and viable robust balance sheet Adopt strategy formulation principles that reflect the long-term imperative of the banking business In the 21st century more than ever banks need to "re-learn" traditional risk management principles and apply them every day. Every bank in the world needs to be up to speed on these issues, and Anthology from Professor Moorad Choudhry is the answer to this new global policy response.
Book Synopsis Quantitative Risk Management by : Alexander J. McNeil
Download or read book Quantitative Risk Management written by Alexander J. McNeil and published by Princeton University Press. This book was released on 2015-05-26 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation
Book Synopsis Estimation of the Zero Coupon Swap Yield Curve by : Srichander Ramaswamy
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.
Book Synopsis Construction of Zero-Coupon Yield Curve from Coupon Bond Yield Using Australian Data by : Ramaprasad Bhar
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.
Book Synopsis Construction of Zero-coupon Yield Curve from Coupon Bond Yield Using Australian Data by : Carl Chiarella
Download or read book Construction of Zero-coupon Yield Curve from Coupon Bond Yield Using Australian Data written by Carl Chiarella and published by . This book was released on 1996 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Introduction to R for Quantitative Finance by : Gergely Daróczi
Download or read book Introduction to R for Quantitative Finance written by Gergely Daróczi and published by Packt Publishing Ltd. This book was released on 2013-11-22 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a tutorial guide for new users that aims to help you understand the basics of and become accomplished with the use of R for quantitative finance.If you are looking to use R to solve problems in quantitative finance, then this book is for you. A basic knowledge of financial theory is assumed, but familiarity with R is not required. With a focus on using R to solve a wide range of issues, this book provides useful content for both the R beginner and more experience users.
Book Synopsis Yield Curve Modeling and Forecasting by : Francis X. Diebold
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Empirical Applications of the "Nelson and Siegel" Parsimonious Zero-coupon Yield Curve Model by : Marcin Stamirowski
Download or read book Empirical Applications of the "Nelson and Siegel" Parsimonious Zero-coupon Yield Curve Model written by Marcin Stamirowski and published by . This book was released on 1999 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Emprical Application of the "Nelson and Siegel" Parsimonious Zero-coupon Yield Curve Model by : Marcin Stamirowski
Download or read book Emprical Application of the "Nelson and Siegel" Parsimonious Zero-coupon Yield Curve Model written by Marcin Stamirowski and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Bank for International Settlements. Monetary and Economic Department Publisher : ISBN 13 : Total Pages :38 pages Book Rating :4.:/5 (521 download)
Book Synopsis Zero-coupon Yield Curves by : Bank for International Settlements. Monetary and Economic Department
Download or read book Zero-coupon Yield Curves written by Bank for International Settlements. Monetary and Economic Department and published by . This book was released on 1999 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Yield Curve Estimation by Kernel Smoothing Methods by : Oliver B. Linton
Download or read book Yield Curve Estimation by Kernel Smoothing Methods written by Oliver B. Linton and published by . This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Application of the "Nelson and Siegel" Parsimonious Zero-coupon Yield Curve Model by : Marcin Stamirowski
Download or read book Empirical Application of the "Nelson and Siegel" Parsimonious Zero-coupon Yield Curve Model written by Marcin Stamirowski and published by . This book was released on 1999 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Investigation Into Popular Methods for Constructing Yield Curves by : Paul Fourie Du Preez
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.
Book Synopsis Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model by : Andrew Jeffrey
Download or read book Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model written by Andrew Jeffrey and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new nonparametric estimator for the volatility structure of the zero-coupon yield curve inside the Heath-Jarrow-Morton framework. The estimator incorporates cross-sectional restrictions along the maturity dimension, and also allows for measurement errors, which can arise from estimation of the yield curve from noisy data. The estimates are implemented with daily CRSP bond data.
