In this PowerPoint presentation we give an overview of yield curves, show how they are modelled and calibrated and give a brief overview of LIBOR reform.Firstly we explain how to calibrate curves to imply forward rates & discount factors. Secondly, we outline the interpolation, optimization and...

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we...

This paper examines the implications of banking competition for the interest rate channel in the Eurozone over the period 2003-2010. We use an Error Correction Model (ECM) approach to measure the long-run and short-run relationships between money market rates, bank interest rates, and our...

User costs of housing are a major part of a household’s expenditure.I empirically investigate the heterogeneous impact of an unanticipatedexpansionary monetary policy on housing markets and householdtenurial decision by exploiting the user cost of housing channel.Drawing on a Swiss household...

We analyse the international transmission of interest rates by focusing on the role of the accumulation of international reserves and on the financing of sovereign debt. An increase in foreign exchange reserves is expected to moderate the influence of U.S. interest rates. However, a high level...

In the present paper it is pointed out that government debt is an obstacle to economic growth. To my belief, the remedy to this problem is to encourage consumption and not to impose taxes onto the consumers. Because, any decrease in their wages and salaries for temporary budgetary purposes, will...

This study applied panel analysis to determine the factors influencing interest margins in Nigeria using bank-specific, sector-specific and macroeconomic data ranging from 2010:Q1 to 2014:Q2. Based on the Hausman test, a fixed effect model in a generalized form (GLS) was estimated. The result...

The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...

A new model, the Poisson Q, is presented which determines the term risk premium in markets from the Ornstein Uhlenbeck version of the Poisson intensity process. The risk neutral properties are obtained by Fourier frequency analysis and a logarithmic Cauchy change in measure. The Poisson Q...