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- W2482100053 abstract "This chapter describes yield curve evolution modeling in order to propose a practical implementation. Interest rate models will try to simulate the evolution of this curve as time passes. There is a corporate yield curve for each corporate, for each sector and for each rating. For example, one may find a corporate yield curve for the Media sector with a BB rating or for a specific oil company on the Dow Jones index. These curves are built from concerned corporate bond quotations. The first stage is to select the appropriate set of fixed rate government bonds to build the curve. A poor selection could lead to aberrant yield curves. The indirect interpolation methods are more often used in practice. The principle is simple: the A/L manager will try to minimize for a set of coupon bonds the sum of the square spreads between the observed market prices and the theoretical reconstituted market prices once either a zero-coupon rates function has been specified or a discount factors function has been specified." @default.
- W2482100053 created "2016-08-23" @default.
- W2482100053 creator A5039845061 @default.
- W2482100053 date "2012-01-02" @default.
- W2482100053 modified "2023-10-14" @default.
- W2482100053 title "The Basis of Interest Rate Modelling" @default.
- W2482100053 doi "https://doi.org/10.1002/9781119209133.ch35" @default.
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