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Lecture on topic YIELD CURVE FITTING METHODS

Martin Matějka and Martin Janeček discoursed on campus of Charles University with lecture on topic YIELD CURVE FITTING METHODS . This lecture will be held at the Faculty of Mathematics and Physics on 17th May 2013.

SYLLABUS

 1) Using of yield curves in the insurance practice
- SII, ALM, LAT, ESG

2) The risk-free yield curve and related market data
- What is risk-free, and the data used for its construction (government
bonds / interest rate swaps)

3) Types, shapes and theories of yield curves
- Types: The yield curve of zero (YTM, par, forward) rates. Shapes: normal,
inverse, s-curve. Expectations Theory, Liquidity Preference Theory and
Market Segmentation Theory

4) Methods of constructing the yield curve (Inter / Extrapolation)
- Interpolation methods: cubic splines, linear interpolation of selected
rates
- Interpolation + extrapolation methods: Nelson-Siegel, Svensson,
Smith-Wilson, cubic splines + linear extrapolation

5) Comparison of each methods for CZK IRS data
- In terms of better fit with market data, "smoothness" of the yield curve
and criteria to the present value of the future cash flows

6) Summary of Results

   

Files to download

Osnova přednášky v češtině. 833_Osnova.pdf 99.634 kB
MFF_presentation YC fit - prezentace -MFF_17.5.2013.pdf 2785.446 kB
 
   
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