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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
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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
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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
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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
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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
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Unspanned macroeconomic factors in the yield curve
Coroneo, Laura; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10010886225
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Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model
Elizondo, Rocío - Banco de México - 2013
The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...
Persistent link: https://www.econbiz.de/10010907568
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Yield Curve Forecasts and the Predictive Power of Macro Variables in a VAR Framework
Vereda, Luciano; Lopes, Hélio; Kubrusly, Jessica; … - In: Journal of Reviews on Global Economics 3 (2014), pp. 377-393
Recent macro-finance papers have documented the importance of adding information from macro variables in order to improve out-of-sample forecasting performance of bond yields. This paper aims at investigating the reasons for this success. We use Diebold and Li’s dynamic version of the Nelson...
Persistent link: https://www.econbiz.de/10010940491
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Fixed-Income Pricing in a Non-Linear Interest-Rate Model.
Renne, J-P. - Banque de France - 2014
model can be exploited to infer risk-neutral probabilities of central-bank rate decisions. …
Persistent link: https://www.econbiz.de/10010940878
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Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information
Lin, William T.; Sun, David S. - In: Review of Pacific Basin Financial Markets and Policies … 10 (2007) 04, pp. 491-518
Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration phenomenon arising from horizon-induced clientele...
Persistent link: https://www.econbiz.de/10005080749