'Term structure' presentation slideshows

Zero coupon yield curve construction for a low liquidity bond market: a new approach

Zero coupon yield curve construction for a low liquidity bond market: a new approach. Dr. Sergey Smirnov. Need of the y ield curve fitting for the credit risk modeling.

636 views • 46 slides

The Valuation of Bonds

The Valuation of Bonds. Timothy R. Mayes, Ph.D. FIN 4600: Chapter 12. Information Required. To value a bond, we need to understand the cash flows that it promises to provide . Therefore we need: Face (or Par) Value

851 views • 45 slides

Chapter 12. The Term Structure of Interest Rates

Chapter 12. The Term Structure of Interest Rates. The Yield Curve Spot and forward rates Theories of the Term Structure. Term structure. bonds with the same characteristics, but different maturities focus on Treasury yields same default risk, tax treatment similar liquidity

586 views • 37 slides

Predicting Interest Rates

Predicting Interest Rates. Statistical Models. Economic vs. Statistical Models. Economic models are designed to match correlations between interest rates and other economic aggregate variables

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Modeling of Economic Series Coordinated with Interest Rate Scenarios Research Sponsored by the Casualty Actuarial Societ

498 views • 32 slides

Introduction to Exchanges

Introduction to Exchanges. Chris Welty Walleye Trading. Who is this guy?. Walleye Trading. Hedge fund in Wayzata Quantitative focus ~35 employees. Exchanges. What they are Growth Quantitative Finance. History. 1602 Amsterdam Stock Exchange 1730 Dojima Rice Exchange

656 views • 28 slides

Chapter 10

Chapter 10. Bond prices and yields. Bond Characteristics. Face or par value Coupon rate Coupon payment Maturity Yield to maturity. Accrued interest and quoted bond prices. Accrued Interest = (Annual coupon payment/2)x(days since last coupon payment/days separate coupon payment)

603 views • 28 slides

International Monetary Economics

International Monetary Economics. ASSET MARKETS A REVIEW. Key Concepts. Convenient References. What are Asset Markets?. Properties of Assets. No-profit condition. CIP. How to solve for the CIP condition?. How to eliminate the risk?. A Perfect Hedge. CIP condition.

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CHAPTER 6 Interest Rates

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CHAPTER 6 Interest Rates

CHAPTER 6 Interest Rates. Determinants of interest rates The term structure and yield curves. What four factors affect the level of interest rates?. Production opportunities The demand for money Time preferences for consumption The supply of money Risk

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Valuing risky debt

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The Risk Premium for Minority Banks Altruistic Portfolios in Underserved Communities

The Risk Premium for Minority Banks Altruistic Portfolios in Underserved Communities. Godfrey Cadogan IITM , Ted Rogers School of Management, Ryerson University. * Prepared for 4th World Conference on Remedies to Racial and Ethnic Economic Inequality Roy Wilkins Center for Human

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The Federal Reserve Decision

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Derivatives

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Lecture 6 Classifications of Interest Rate Models

Lecture 6 Classifications of Interest Rate Models. Three Classifications. Discrete vs. Continuous Single Factor vs. Multiple Factors General Equilbrium vs. Arbitrage Free. Discrete Models. Discrete models have interest rates change only at specified intervals Typical interval is monthly

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Lecture 2 The Use of Interest Rate Models in Insurance

Lecture 2 The Use of Interest Rate Models in Insurance. Ratemaking DFA Asset-Liability Management Life insurance policies Minimum guarantee contracts Credited interest rate Lapse rates Investment valuation. Ratemaking. Expected investment returns Risk free interest rate

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Nelson-Siegel- Svensson model: application for Swedish government bonds

Nelson-Siegel- Svensson model: application for Swedish government bonds. MMA 708 - Analytical Finance II Teacher: Jan Roman He Bo Ashot Khalatyan Omogunloye Oluwasanmi. Introduction .

1.36k views • 8 slides

Definitions

Definitions. Term structure of interest rates : relationship between the yields on bonds (typically Treasuries) and their terms to maturity. Yield curve : graphical portrayal of the term structure. Yield Curves. flat descending (or inverted) ascending (includes steep and normal) humped.

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Term Structure

Term Structure . MGT 4850 Spring 2008 University of Lethbridge. Interest Rate Term Structure. http://www.smartmoney.com/onebond/index.cfm?story=yieldcurve. Bootstrapping method. Uses available price data to calculate yield Uses available yield curve to calculate implied forward.

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Chapter 5 The Cost of Money (Interest Rates)

Chapter 5 The Cost of Money (Interest Rates). Learning Outcomes Chapter 5. Describe the cost of money and factors that affect the cost of money. Describe how interest rates are determined. Describe a yield curve and discuss how a yield curve might be used to determine future interest rates.

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