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Term Structure Equations Under Benchmark Framework
El Qalli, Yassine - Volkswirtschaftliche Fakultät, … - 2009
for bond and forward prices. The benchmark or numeraire is chosen to be the growth optimal portfolio (GOP). For … deterministic short rate the solution of the bond term structure equation coincides with the explicit formula obtained in Platen …(2005). The resulting term structure equations are used to explain moves in bond and forward prices by introducing GOP as a …
Persistent link: https://www.econbiz.de/10004980411
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Liquidity-adjusted benchmark yield curves: a look at trading concentration and information
Lin, William; Sun, David - Volkswirtschaftliche Fakultät, … - 2007
. Trading liquidity plays a key role in long run term structure fitting. Markets for liquid benchmark government bond issues …
Persistent link: https://www.econbiz.de/10009654213
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Computing Skills in the Market Risk Management in the G-Sec Portfolio by the Banks in India
Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2009
Market Risk Management Process in India is in an evolving process since the Banks in India are still in an early stage of development in the sense that they are lacking statistical database, equipped MIS and adequate supply of trained personnel. Many a good number of banks are suffering from...
Persistent link: https://www.econbiz.de/10005619936
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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
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Corporate Bond Market in India: Current Scope and Future Challenges
Mukherjee, Dr. Kedar nath - Volkswirtschaftliche Fakultät, … - 2012
important to have a well run and liquid corporate bond market that can play a critical role in supporting economic development … financing needs to facilitate such growth. A well developed corporate bond market can be the optimal alternative, not only to … corporate bond market, vis-à-vis the other developed markets, and attempted to explain the movements and changes taken place in …
Persistent link: https://www.econbiz.de/10011112601
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Estimating term structure changes using principal component analysis in Indian sovereign bond market
Nath, Golaka - Volkswirtschaftliche Fakultät, … - 2012
from government bond trading using Nelson-Siegel functional form. This decomposition of the yield curve highlights …
Persistent link: https://www.econbiz.de/10011113377
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Downward-sloping term structure of lease rates: a puzzle
Seko, Miki; Sumita, Kazuto; Yoshida, Jiro - Volkswirtschaftliche Fakultät, … - 2012
. Empirical findings show a sharp contrast with the theory. Fixed-term lease rates are often higher than open-ended long …
Persistent link: https://www.econbiz.de/10011258927
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Testing Linearity in Term Structures
Peroni, Chiara - Volkswirtschaftliche Fakultät, … - 2009
Recent empirical studies suggests that affine models, a popular framework to analyse term structures of interest rates, are misspecified. This evidence is mainly based on time series properties of the data. This article re-examines this controversy, by investigating both cross-sectional and...
Persistent link: https://www.econbiz.de/10005087512
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Indian G-Sec Market: How the Term Structure Reacts to Monetary Policy
Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2009
Against the backdrop of interest rate risk in the fixed income portfolios of the financial institutions in India that arose since the first quarter of the current financial year 2008-09 the influence of monetary policy on the term structure emerged as an important issue for research purposes. In...
Persistent link: https://www.econbiz.de/10005014959
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Informed trading in the Euro money market for term lending
Zagaglia, Paolo - Volkswirtschaftliche Fakultät, … - 2010
I address the role of information heterogeneity in the Euro interbank market for unsecured term lending. I use high-frequency quotes of bid and ask prices to estimate probabilities of informed trading for contract maturities from one month to one year. The dataset spans from November 2000 to...
Persistent link: https://www.econbiz.de/10008596408