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, 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
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
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
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
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
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
Persistent link: https://www.econbiz.de/10005051379
restriction of no arbitrage, which enables us to decompose forward real rates into expectations of future short (ie risk …
Persistent link: https://www.econbiz.de/10005435687
) model, to develop a multi-dimensional yield-curve-based risk framework for fixed interest portfolios. The VAO model is also …. In combination, these risk and return elements provide an intuitive framework for attributing portfolio returns ex … swap data. The first application shows that the main sources of fixed interest portfolio risk (i.e. unanticipated …
Persistent link: https://www.econbiz.de/10005404220
This paper considers a class of Heath-Jarrow-Morton (1992) term structure models, characterized by time deterministic volatilities for the instantaneous forward rate. The bias that arises from using observed futures yields as a proxy for the unobserved instantaneous forward rate is analyzed. The...
Persistent link: https://www.econbiz.de/10005413218