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On the Estimation of Term Structure Models and An Application to the United States

International Monetary Fund (IMF); International … - 2010

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

Persistent link: https://www.econbiz.de/10008727797

Interest Rates After the Credit Crunch: Markets and Models Evolution

Bianchetti, Marco; Carlicchi, Mattia - In: Journal of Financial Transformation 32 (2011), pp. 35-48

We present a quantitative study of the evolution of markets and models during the recent crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidence regarding the divergence between Libor and OIS rates, the explosion of basis swaps spreads, and...

Persistent link: https://www.econbiz.de/10009318572

The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011

managing even a single plain vanilla Swap. In this qualitative note we review the problem trying to shed some light on this …

Persistent link: https://www.econbiz.de/10011259157

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

Use of saline water for irrigation in monsoon climate and deep water table regions: Simulation modeling with SWAP

Verma, A.K.; Gupta, S.K.; Isaac, R.K. - In: Agricultural Water Management 115 (2012) C, pp. 186-193

SWAP (Soil-Water-Atmosphere-Plant) version 2.0 was evaluated for its capability to simulate crop growth and salinity … during 2000–2003. A close agreement was observed between the measured data and simulated values. SWAP simulated and observed … could be confirmed with application of SWAP that long-term use of saline water in monsoon climate under deep water table …

Persistent link: https://www.econbiz.de/10010594559

Interest rate derivative markets in Hungary between 2009 and 2012 in light of the K14 dataset

Kocsis, Zalán; Csávás, Csaba; Mák, István; Pulai, … - Magyar Nemzeti Bank (MNB) - 2013

MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...

Persistent link: https://www.econbiz.de/10010898281

Modern Banking and OTC Derivatives Markets; The Transformation of Global Finance and its Implications for Systemic Risk

Drees, Burkhard; Schinasi, Garry J.; Kramer, Charles … - International Monetary Fund (IMF) - 2001

Persistent link: https://www.econbiz.de/10005590943

Monetary Implications of Cross-Border Derivatives for Emerging Economies

Morales, Armando Méndez - International Monetary Fund (IMF) - 2001

This paper surveys concepts, practices and analytical literature to assess benefits and risks for monetary stability of cross-border currency and interest rate derivative operations in calm and turbulent periods, with a view of extracting implications for emerging economies. Monetary authorities...

Persistent link: https://www.econbiz.de/10005599523

Puttable and Extendible Bonds; Developing Interest Rate Derivatives for Emerging Markets

Neftci, Salih N.; Santos, Andre - International Monetary Fund (IMF) - 2003

This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by...

Persistent link: https://www.econbiz.de/10005826508

Measuring off-Balance-Sheet Leverage

Breuer, Peter - International Monetary Fund (IMF) - 2000

The simultaneous unwinding of leveraged positions can trigger financial market turbulence. Although balance-sheet measures of leverage are available, it is useful to construct a measure of leverage that incorporates both on- and off-balance-sheet activities. This paper provides measures of...

Persistent link: https://www.econbiz.de/10005263810