Znaczenie zmienności implikowanych stóp forward w procesie szacowania krzywej dochodowości

• Authors: Ewa Dziwok

Title variants

EN

The Role of Implied Forward Rate in Yield Curve Modelling

• Languages of publication: PL

Abstracts

EN

The aim of the paper is twofold - to construct the implied 7-days forward rate and then to utilize its volatility as a indicator both the situation on asset's market and the flexibility of the yield curve construction. The research applies two parametric models: Nelson-Siegel with four and Svensson one with six parameters. The yield curve was created for WIBOR, FRA and swaps rate which let compare the situation on these markets during and after the financial crisis 2007-2009.

Keywords

PL

Krzywa dochodowości; Modele matematyczne; Transakcje terminowe

EN

Forward rate transaction; Mathematical models; Yield curve

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 146
• Pages: 19-28

Contributors

author

Ewa Dziwok

References

• Bjork T., A Geometric View of Interest Rate Theory, "Working Paper Series in Economic and Finance" 2000, No. 419, Stockholm School of Economics.
• Fabozzi F.J., Mann S.V., Choudhry M., Measuring and Controlling Interest Rate and Credit Risk, John Wiley & Sons, Inc. Hoboken, New Jersey 2003.
• Meucci A., Risk and Asset Allocation, Springer-Verlag, Berlin-Heidelberg 2005.
• Rebonato R., Modern Pricing of Interest-rate Derivatives, Princeton University Press, Princeton and Oxford 2002.
• Rebonato R., Volatility and Correlations 2nd Edition, John Wiley & Sons, Ltd., Chichester 2004.

Identifiers

ISSN

2083-8611