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Zero lower bound term structure modeling : a practitioner's guide /
"This book provides a comprehensive reference to state of the art zero bound term structure modeling in an applied setting. Based on the author's practical experience in the field, it covers tractable frameworks, macroeconomic foundations for ZLB models, and applications in the field of ma...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York, NY :
Palgrave Macmillan,
2015.
|
| Edición: | First edition. |
| Colección: | Applied quantitative finance.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Krippner, Leo, |e author. | |
| 245 | 1 | 0 | |a Zero lower bound term structure modeling : |b a practitioner's guide / |c Leo Krippner. |
| 250 | |a First edition. | ||
| 264 | 1 | |a New York, NY : |b Palgrave Macmillan, |c 2015. | |
| 300 | |a 1 online resource (xxviii, 409 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a Applied quantitative finance series | |
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Chapter 1: Introduction -- Chapter 2: A New Framework for a New Environment -- Chapter 3: Gaussian Affine Term Structure Models -- Chapter 4: Krippner Framework for ZLB Term Structure Modeling -- Chapter 5: Black Framework for ZLB Term Structure Modeling -- Chapter 6: K-ANSM Foundations and "Effective Monetary Stimulus" -- Chapter 7: Monetary Policy Applications -- Chapter 8: Financial Market Applications -- Chapter 9: Conclusions and Future Research Directions -- Appendix A: Matrix Notation. | |
| 520 | |a "This book provides a comprehensive reference to state of the art zero bound term structure modeling in an applied setting. Based on the author's practical experience in the field, it covers tractable frameworks, macroeconomic foundations for ZLB models, and applications in the field of macro-finance. Split into seven chapters with two appendices, the book first provides an introduction to the principles of term structure modeling, its application to macro-finance and monetary policy, and the complications introduced by the ZLB for nominal interest rates. The following chapters focus on developing unique frameworks to better evaluate ZLB interest rates and bond prices. Finally, the book looks at applications in the field, such as monitoring the stance of unconventional monetary policy and managing fixed income portfolio risk. This book will be an essential desk reference for central bankers, market practitioners, and researchers, and will be a must-read for anyone involved in bond portfolio pricing, risk management, and macroeconomic and monetary policy analysis"-- |c Provided by publisher | ||
| 504 | |a Includes bibliographical references and index. | ||
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| 650 | 6 | |a Modèles d'équations structurales. | |
| 650 | 6 | |a Économie politique. | |
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| 830 | 0 | |a Applied quantitative finance. | |
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