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  • Search: subject:"spot rate"
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Year of publication
Subject
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Bondalter 2 Continuous-time financial models 2 Corporate Bond 2 Credit Spread 2 Credit Spread Puzzle 2 Diffusion 2 Emissionsvolumen 2 Empirical Likelihood 2 Expected Loss 2 Finanzmarktkrise 2 Goodness of fit test 2 Kernel smoothing 2 Liquidität 2 Markov-Eigenschaft 2 Monte Carlo simulation 2 Nelson/Siegel-Verfahren 2 Nonparametric methods 2 Off-the-Run 2 On-the-Run 2 Pricing Error 2 Rating 2 Ratingzusatz 2 Spot Rate 2 Subprime-Krise 2 Svensson-Verfahren 2 Swap Rate 2 Z-Spread 2 Zinsstrukturkurve 2 collateralized debt obligation 2 copula function 2 credit default swap 2 credit value at risk 2 direct convolution 2 exposure at default 2 future potential exposure 2 interest rate 2 interest rate swap 2 loss given default 2 probability of default 2 spot rate 2
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Online availability
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Free 9
Type of publication
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Book / Working Paper 8 Article 1
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
All
Undetermined 7 German 1 English 1
Author
All
Gann, Philipp 2 Kleinow, Torsten 2 Chung, Tsz-Kin 1 Das, Rituparna 1 Drobyshevsky, Sergey 1 Esposito, Francesco P. 1 Esposito, Francesco Paolo 1 Hui, Cho-Hoi 1 Li, Ka-Fai 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Gaidar Institute for Economic Policy 1 Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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MPRA Paper 2 Discussion Papers in Business Administration 1 Journal of Advanced Studies in Finance 1 Münchener Wirtschaftswissenschaftliche Beiträge : BWL ; discussion paper 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1 Working Papers / Gaidar Institute for Economic Policy 1 Working Papers / Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong 1
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Source
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RePEc 7 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 9 of 9
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Determinants and Dynamics of Price Disparity in Onshore and Offshore Renminbi Forward Exchange Rate Markets
Li, Ka-Fai; Hui, Cho-Hoi; Chung, Tsz-Kin - Hong Kong Institute for Monetary Research (HKIMR), … - 2012
forward rate to the spot rate and interest rate differential, a different assessment of the path of interest rates can lead to …
Persistent link: https://www.econbiz.de/10010617734
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CREDIT RISK TOOLS: AN OVERVIEW
Esposito, Francesco P. - In: Journal of Advanced Studies in Finance II (2011) 1, pp. 18-25
This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for plain vanilla credit default swaps (CDS),...
Persistent link: https://www.econbiz.de/10009653256
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Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds
Gann, Philipp - Volkswirtschaftliche Fakultät, … - 2010
Gegenstand der vorliegenden Studie ist die vertiefte Analyse des marktphasenabhängigen Einflusses der Liquidität auf die Credit Spreads Euro denominierter Unternehmensanleihen. Dabei werden zwei Untersuchungsperioden während verschiedener Kapitalmarktphasen betrachtet. Die erste...
Persistent link: https://www.econbiz.de/10008544248
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Indian G-Sec Market II: Anatomy of Short Rates
Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2010
This paper demonstrates how, without mechanically applying any formula like Nelson-Siegel or Nelson-Siegel-Svensson straight cut, a short term yield curve can intuitively be constructed with traded securities and then plugging the gaps with regression and cubic splines on case by case basis,...
Persistent link: https://www.econbiz.de/10008765915
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Cover Image
Credit risk tools: an overview
Esposito, Francesco Paolo - Volkswirtschaftliche Fakultät, … - 2010
This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for plain vanilla credit default swaps (CDS),...
Persistent link: https://www.econbiz.de/10008788796
Saved in:
Cover Image
Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds
Gann, Philipp - 2010
Gegenstand der vorliegenden Studie ist die vertiefte Analyse des marktphasenabhängigen Einflusses der Liquidität auf die Credit Spreads Euro denominierter Unternehmensanleihen. Dabei werden zwei Untersuchungsperioden während verschiedener Kapitalmarktphasen betrachtet. Die erste...
Persistent link: https://www.econbiz.de/10008779786
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Testing the diffusion coefficient
Kleinow, Torsten - 2002
In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...
Persistent link: https://www.econbiz.de/10010310517
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Testing the diffusion coefficient
Kleinow, Torsten - Sonderforschungsbereich 373, Quantifikation und … - 2002
In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...
Persistent link: https://www.econbiz.de/10010956412
Saved in:
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Modelling Spot Rate Process in the Russian Treasury Bills Market
Drobyshevsky, Sergey - Gaidar Institute for Economic Policy - 2000
The paper deals with modelling of spot rate process in the market for government securities in transitional economy … of spot rate stochastic process: AR-GARCH time series models, GMM estimates and stochastic volatility models (QML … estimates and Kalman filter). The most general conclusion is that pattern of spot rate process in transitional economy can be …
Persistent link: https://www.econbiz.de/10010595471
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