Measuring yield curve movements : a principal component analysis of spot rate changes in the JPY, USD, GBP, and CHF interest rate swap markets
Year of publication: |
2022
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Authors: | Takahashi, Toyoharu |
Published in: |
Advances in Pacific Basin business, economics and finance. - Bingley : Emerald, ISSN 2514-4669, ZDB-ID 2931955-9. - Vol. 10.2022, p. 193-208
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Subject: | Yield curve | principal component analysis | interest rate swap | spot rate | risk management | LIBOR | Zinsstruktur | Zinsderivat | Interest rate derivative | Swap |
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