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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

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

Interest Rates After the Credit Crunch: Markets and Models Evolution

Bianchetti, Marco; Carlicchi, Mattia - In: Journal of Financial Transformation 32 (2011), pp. 35-48

on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the …

Persistent link: https://www.econbiz.de/10009318572

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

The Term Structure of Real Interest Rates: Theory and Evidence from UK Index-Linked Bonds.

Seppala, J. - 2000

This paper studies the behavior of the default-risk-free real term structure and term premia intwo general equilibrium … second risk-sharing is limited by the risk of default as in Alvarez and Jermann. …

Persistent link: https://www.econbiz.de/10005619089

No-Arbitrage Taylor Rules

Ang, Andrew; Dong, Sen - Society for Economic Dynamics - SED - 2005

Persistent link: https://www.econbiz.de/10005051379

Can spanned term structure factors drive stochastic yield volatility?

Christensen, Jens Henrik Eggert; Lopez, Jose A.; … - Federal Reserve Bank of San Francisco - 2014

The ability of the usual factors from empirical arbitrage-free representations of the term structure—that is, spanned factors—to account for interest rate volatility dynamics has been much debated. We examine this issue with a comprehensive set of new arbitrage-free term structure...

Persistent link: https://www.econbiz.de/10011026936

An Interpretation of An Affine Term Structure Model for Chile

Juan Marcelo, Ochoa - Volkswirtschaftliche Fakultät, … - 2006

This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...

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

Interest Rates Time Structure and Domestic Bond Prices

Slavík, Michal - In: Czech Journal of Economics and Finance (Finance a uver) 51 (2001) 10, pp. 591-607

This paper considers and provides estimates of the term structure of interest rates based on observable bond prices. The paper opens with an account of the usefulness of the so-called zero-coupon yield curve as a tool for term structure modelling. Toward this, three methods are considered ? the...

Persistent link: https://www.econbiz.de/10008495808

Equilibrium yield curves under regime switching

Verdú, Santiago García - Banco de México - 2010

growth. Thus, the agent is concerned about the intertemporal distribution of risk, which is affected by the persistence of … growth can be interpreted as a change in the price of risk. I find coefficients of risk aversion from 40 to 90, and …

Persistent link: https://www.econbiz.de/10008471278