CFA考试资料参考R32 The Term Structure and Interest Rate Dynamics.pdf,Question #1 of 80 Question ID: 1210218 Credit risk in the banking system is most accurately captured by the: A) 10-year swap spread. B) TED spread. C) I-spread. Question #2 of 80 Questi
A simple model is developed to understand inflationary pressures and stabilization in non-market economies. It is shown that in the typical planned economy... R Sahay,CA Vegh - 《Journal of Policy Reform》 被引量: 28发表: 2011年 A nominal theory of the nominal rate of interest and the pri...
Interest rate market risk faced by China’s commercial banks is increasing after the announcement that the interest rate marketisation is completed. This paper examines the Value-at-Risk, and statistical properties in the daily price return of Shanghai b
31 Based on Exhibit 1, the market is most likely expecting: A ation. B inflation. C no risk premiums. CFA Institute. For candidate use only. Not for distribution. CFA Institute. For candidate use only. Not for distribution. 60 Reading 32 The Term Structure and Interest Rate Dynamics 32 ...
"A Dynamic General Equilibrium Model of the Asset Market and Its Application to the Pricing of the Capital Structure of the Firm." Sloan ... RC Merton 被引量: 101发表: 1970年 Exchange rate indeterminacy in portfolio balance, Mundell -- Fleming and uncovered interest rate parity models. With...
The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates It is possible to specify a model for interest rates in various ways, by giving the dynamics of the spot rate or of the forward rates, for example. A less ... LCG Rogers - 《Mathematical Finance》 ...
Moreover, knowledge of Chinese interest rate dynamics aids in the determination of security prices, the prediction of interest rate changes and the choice of hedging strategies. Generally, in an emerging market such as China, the spot rate plays a role similar to the fed fund rate in the . ...
This paper introduces the dual-track interest rate system into the New Keynesian DSGE model to analyze the efficiency of it,the reform of it and the optimal monetary policy.We find out that the efficiency of the dual-track system is not only correlated to the distortion of financial market bu...
This paper discusses the assumptions underlying the uncovered interest rate parity and the implications for capital flow and exchange rate management.Our analyses suggest that as the Renminbi real effective exchange rate approaches its equilibrium,the central bank can manage market expectations of future ...
The Market Model of Interest Rate Dynamicsterm structure modelsHJM frameworklognormality of ratesstochastic partial differential equationscapsswaptionsA class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding market forward rates do not ...