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Analysing and Interpreting the Yield Curve - (Wiley Finance) by Moorad Choudhry (Hardcover)

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Understand and interpret the global debt capital markets

Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market.

Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used.

  • Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models
  • Gets you up to speed on the secured curve
  • Describes application of theoretical versus market curve relative value trading
  • Explains the concept of the risk-free rate
  • Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models 

The book’s companion website includes a number of yield curve models that are ready for application at any commercial bank. This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.

Number of Pages: 350
Genre: Business + Money Management
Series Title: Wiley Finance
Format: Hardcover
Publisher: John Wiley & Sons Inc
Author: Moorad Choudhry
Language: English
Street Date: April 29, 2019
TCIN: 53669522
UPC: 9781119141044
Item Number (DPCI): 248-04-5666
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$118.75
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