Term structure of interest rate
The problem of estimating the volatility of zero coupon bond interest rate
... prices of all the traded bills, bonds, and notes reported by ...estimates of the YC, we proceed to estimate interest rate ...volatility of daily interest rates (see, ...
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Parametric interest rate risk immunization
... line of attack to the problem of immunization involves the use of para- metric duration ...kind of formulation, which has its roots in the work of Cooper (1977), all that is assumed is ...
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Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break
... American term structure and the study by Ripatti and Saikkonen [25] based on interest rate data from ...ence of structural breakage in the mean and variation of American ...
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Essays on the monetary aspects of the term structure of nominal interest rates
... model inflation as a function of the levei of the real interest rate, and nominal. interest rate as a function of past inflation[r] ...
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Stochastic growth and monetary policy: the impacts on the term structure of interest rates
... dictability of the slope of the yield curve at the short- and at the long-ends respectively (or the worse predictability of the slope of the middle of the yield ...persistency of ...
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Three Essays on the Term Structure of Interest Rates
... short rate, while the five-year bond yield is assumed to be measured with ...dynamics of interest rates under the risk-neutral measure Q has greater weight in the joint-likelihood than pricing errors ...
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Recessions in Portugal: the predictive power of term structure of interest rates components
... contribution of this paper is to explore the ability of the different term structure components, which extraction is based of multifactorial models, to predict recessions in ...The ...
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Immunization Using a Parametric Model of the Term Structure
... Regardless of their popularity, the Nelson-Siegel-Svensson family of curves has been criticized because of two theoretical ...dynamics of a given interest rate ...family ...
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Interest rate exposure of Spanish banks: A nonparametric analysis
... in interest rates and bank stock returns is consistent with the typical bank balance sheet maturity structure, where long-term assets are funded with short-term liabilities (positive duration ...
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Economically justified equity investment strategies capable of withstanding growing interest rate environment
... between interest rate changes and stock ...in interest rate and unexpected earnings in the 1 st and 2 nd year of interest rate ...short term when interest ...
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Structured Products in the Current Low Interest Rate Environment
... total of 22 products were priced from 9 different banks, however, it is important to underline that the margins reached are not each bank’s commercial margins but the margins that Banco BiG would get if it issued ...
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Implementing interest rate swaps in the risk management of a credit institute – a practical analysis
... one of the strategies tested, that had to be considered as generally inefficient (efficiency ...shifts of the term structure (Figure 9), which was thus in line with the findings of the ...
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The Interest Rate Derivative Market In Brazil and Arbitrage Opportunities
... performance of a term structure model, in which each instantaneous forward rate is driven by a different stochastic shock, namely, string market ...pricing interest rates derivatives ...
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A model to estimate the US term structure of interest rates
... The spot interest rate for a given maturity is defined as the yield of apure discount bond ([7]) with the same maturity. In particular, the US term structure of interest rates pr[r] ...
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Are interest rate options important for the assessment of interest rate risk?
... if interest rate options contain useful information that could help on the econometric identi cation of the quantiles of interest rate ...cation of these quantiles should ...
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Interest rate dynamic models: Evidence from Iberian markets
... works of reference are those of Ang and Piazzesi (2003), Kim and Wright (2005), Diebold and Li (2006), Diebold et ...version of the Nelson and Siegel model proposed by Diebold and Li (2006) and ...
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Predictive power of the term structure of interest rates over recessions in Europe
... decomposition of the yield curve (Diebold et ...shape of the yield curve with a set of latent factors (Aguiar-Conraria et ...information of the curve, at each period of time, into ...
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The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?
... purpose of this study is to answer the following research questions: Are stochastic interest risk measures superior to their deterministic counterparts? Does the answer to the previous question depend on ...
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Interest rate risk in UK defined benefit pension schemes
... crisis of 2008, pension schemes began recognizing more than ever that they need to protect against interest rate ...risk. Interest rate risk is the most significant and volatile risk to ...
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The Brazilian experience in managing interest-exchange rate nexus
... forms of carry trade as, for example, the anticipation of export ...forms of anticipation of exports value: the ACC (Advances on Exchange Contracts) and the PA (Anticipated Payment of ...
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