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Speculation, risk premia and expectations in the yield curve

Barillas, Francisco; Nimark, Kristoffer - Department of Economics and Business, Universitat … - 2012

the speculative term must be orthogonal to public information in real time and therefore statistically distinct from risk … yields. Furthermore, estimates of historical risk premia from the heterogeneous information model are less volatile than, and …

Persistent link: https://www.econbiz.de/10010929585

The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011

Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that...

Persistent link: https://www.econbiz.de/10011259157

Markets Evolution After the Credit Crunch

Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012

We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...

Persistent link: https://www.econbiz.de/10011260721

Liquidity-adjusted benchmark yield curves: a look at trading concentration and information

Lin, William; Sun, David - Volkswirtschaftliche Fakultät, … - 2007

phenomenon arising from horizon-induced clientele equilibrium as well as information discovery. Specifically, we employ arguments … from models of liquidity concentration and benchmark security information. After examining time series behavior of price … errors against our fitted model, we find results consistent with both the horizon and information hypotheses. Our evidence …

Persistent link: https://www.econbiz.de/10009654213

Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors. Within such double-curve-single-currency framework,...

Persistent link: https://www.econbiz.de/10008457180

An Interpretation of An Affine Term Structure Model for Chile

Juan Marcelo, Ochoa - Volkswirtschaftliche Fakultät, … - 2006

bonds of different maturities in a continuous-time no arbitrage term structure model for Chile. The dynamics of yields in …

Persistent link: https://www.econbiz.de/10005789515

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps...

Persistent link: https://www.econbiz.de/10011110035

Yield to Maturity Is Always Received as Promised: A Reply

Cebula, Richard; Yang, Bill - Volkswirtschaftliche Fakultät, … - 2008

This theoretical note elaborates upon why it is a myth that YTM is viewed as only a promised but not really earned interest rate. It addresses some misconceptions in Shirnani and Wilbratte (2009) on what, between YTM and RCY, is a true rate of return of a coupon bond, why YTM is not just a...

Persistent link: https://www.econbiz.de/10011111723

Yield to Maturity Is Always Realized as Promised: A Reply

Cebula, Richard; Yang, Bill - Volkswirtschaftliche Fakultät, … - 2008

This note attempts to further elaborate why it is a myth that YTM is viewed as only a promised but not really earned interest rate. It addresses some misconceptions regarding what, between YTM and RCY, is a true rate of return of a coupon bond, why YTM is NOT just a “fictitious mathematical...

Persistent link: https://www.econbiz.de/10011112771

Estimating term structure changes using principal component analysis in Indian sovereign bond market

Nath, Golaka - Volkswirtschaftliche Fakultät, … - 2012

This paper analyses the India sovereign yield to find out the principal factors affecting the term structure of interest rate changes. We apply Principal Component Analysis (PCA) on our data consisting of zero coupon interest rates derived from government bond trading using Nelson-Siegel...

Persistent link: https://www.econbiz.de/10011113377