Zero lower bound term structure modeling : a practitioner's guide
By: Krippner, Leo
Material type: BookSeries: Applied quantitative finance.Publisher: New York : Palgrave Macmillan, c2015.Description: xxviii, 409 p. ; ill. ; 26 cm.ISBN: 9781137408327; 1137408324Subject(s): Finance -- Mathematical models | Structural equation modeling | Economics, Mathematical | BUSINESS & ECONOMICS / Finance | BUSINESS & ECONOMICS / Public Finance | BUSINESS & ECONOMICS / StatisticsDDC classification: 339.5/30151953 Online resources: Location MapItem type | Home library | Call number | Status | Date due | Barcode | Item holds |
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REGULAR | University of Wollongong in Dubai Main Collection | 339.530151953 KR ZE (Browse shelf) | Available | T0018054 |
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339.53 MO NE Monetary policy frameworks for emerging markets / | 339.53 MO QU Quantitative easing as a highway to hyperinflation / | 339.53 SM ES Essays in the fundamental theory of monetary economics and macroeconomics / | 339.530151953 KR ZE Zero lower bound term structure modeling : | 340 DO PS Psychoeducational assessment and report writing | 340 GL OB Global governance of intellectual property in the 21st century : | 340.023 CU TH 365 daily advocacy tips |
"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"--