Narrow search
Showing 1 - 10 of 221
Cover Image
The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011
plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy of the risk free rate required as basic … building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are … carry very important consequences in derivative’s trading and risk management, such as, for example, basis risk …
Persistent link: https://www.econbiz.de/10011259157
Cover Image
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
Cover Image
Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012
, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …
Persistent link: https://www.econbiz.de/10011110035
Cover Image
Animal spirits, liquidity-preference and Keynesian behavioural macroeconomics: An intertemporal framework
Koutsobinas, Theodore - Volkswirtschaftliche Fakultät, … - 2011
Abstract The utilization of a real-interest rate rule in Romer’s new-Keynesian IS-MP approach, which is consistent with new synthesis intertemporal baseline macroeconomic models, provides a contemporary alternative to the standard old-Keynesian IS-LM model and moves back the emphasis on...
Persistent link: https://www.econbiz.de/10011257942
Cover Image
Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
Alfaro, Rodrigo; Becerra, Juan Sebastian; Sagner, Andres - Volkswirtschaftliche Fakultät, … - 2010
The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield curve. In this paper we propose a discrete-time version of that model by using dynamic factors, such that the model is dynamic in the sense proposed by Diebold and Li (2006). We found the exact...
Persistent link: https://www.econbiz.de/10008683291
Cover Image
Analyse der Renditestrukturkurve: Zur Laufzeitenstruktur von Investitions- und Finanzierungsentscheidungen
Lenz, Rainer - Volkswirtschaftliche Fakultät, … - 2010
curve determines the relationship between interest rate risk and return of investments. Should the investor or financier …
Persistent link: https://www.econbiz.de/10008694004
Cover Image
Indian G-Sec Market II: Anatomy of Short Rates
Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2010
This paper demonstrates how, without mechanically applying any formula like Nelson-Siegel or Nelson-Siegel-Svensson straight cut, a short term yield curve can intuitively be constructed with traded securities and then plugging the gaps with regression and cubic splines on case by case basis,...
Persistent link: https://www.econbiz.de/10008765915
Cover Image
Volatility Transmission of Overnight Rate along the Yield Curve in Pakistan
Mahmood, Asif - Volkswirtschaftliche Fakultät, … - 2014
This paper presented the empirical results of the volatility transmission of overnight rate along the yield curve in case of Pakistan. The results indicate that the volatility transmission of overnight repo rate is higher at the shorter end of the yield curve while lower at the longer end. These...
Persistent link: https://www.econbiz.de/10011107405
Cover Image
Nominal Term Structure and Term Premia. Evidence from Chile
Ceballos, Luis; Naudon, Alberto; Romero, Damian - Volkswirtschaftliche Fakultät, … - 2014
The downward trend exhibited in Chile’s nominal term structure since 2003 has been a common pattern shared by other developed and developing economies. To understand the behavior of the nominal yield curve in Chile, we rely on an affine dynamic term structure model (DTMS) which allows to...
Persistent link: https://www.econbiz.de/10011108020
Cover Image
A Note on Federal Budget Deficits and the Term Structure of Real Interest Rates in the United States
Cebula, Richard - Volkswirtschaftliche Fakultät, … - 1990
Using quarterly data and dealing with the ex post real rates on three month U.S. Treasury bills and 20 year U.S. Treasury bonds, this empirical note has estimated an IS-LM based regression by 2SLS. The results indicate that the budget deficit raises the slope of the yield curve. Furthermore, to...
Persistent link: https://www.econbiz.de/10011111248