Hedging a Portfolio of Corporate Bonds Using PCA/EGARCH Yield Curve Analysis

2000 ◽  
pp. 235-253
Author(s):  
Darren Toulson ◽  
Sabine Toulson ◽  
Abongwa Ndumu
Keyword(s):  
Yield Curve ◽  
Corporate Bonds ◽  
Curve Analysis

scholarly journals PEMODELAN KURVA IMBAL HASIL OBLIGASI KORPORASI RATING AA DAN A DENGAN NELSON SIEGEL SVENSSON DAN CUBIC SPLINE SMOOTHING

2009 ◽  
Vol 11 (4) ◽  
pp. 293-322
Author(s):  
Denny Permatasari ◽  
Nur Iriawan
Keyword(s):  
Yield Curve ◽  
Stock Exchange ◽  
Corporate Bonds ◽  
Cubic Spline ◽  
Corporate Bond ◽  
Spline Smoothing ◽  
Bond Price ◽  
Market Prices ◽  
Corporate Bond Market ◽  
Commercial Instrument

Bond is one of commercial instrument that influence economic sector in Indonesia. Bond transaction can't be made in the market directly, but it has been traded through securities. On average, there are only few bond transactions with the various market prices. Benchmarking is, therefore, needed to be created to determining bond price through yield curve. Through yield curve, the relation between yield of bond with same credit risk (rating) and different time to maturity can be seen. This research is conducted by employing time to maturity to model the yield of some selected corporate bonds with rating of AA and A. Two methods, Nelson Siegel Svensson (NSS) method couple with Levenberg-Marquardt optimization and Cubic Spline Smoothing (CSS) are employed here. These two methods have been applied to data from Indonesian Stock Exchange (IDX) ranging September to November 2008. The results show that CSS give smallest RMSE and MAE. In contrast, Nelson Siegel Svensson reports a model which more parsimony, more easily to be explained, and more adaptable to keep upfoward maturity than CSS. This research takes into account that NSS is better to be to model corporate bonds yield curve than CSS. Another importance conclusion that can be gather is that corporate bonds (with rating of AA and A) yield are hang about under IGSYC in certain period. Its means, that corporate bond market in Indonesia is not good for investment comparing to government bond.

Equilibrium yield-curve analysis through an analytic age-structured production model: A sensitivity study for the Chilean jack mackerel fishery

2002 ◽  
Vol 54 (3) ◽  
pp. 395-407 ◽  
Author(s):  
Luis A. Cubillos ◽  
Aldo Hernández ◽  
Aquiles Sepúlveda ◽  
Dagoberto F. Arcos
Keyword(s):  
Yield Curve ◽  
Sensitivity Study ◽  
Curve Analysis ◽  
Production Model ◽  
Jack Mackerel ◽  
Equilibrium Yield ◽  
Age Structured

scholarly journals Modelling the impact of changes in the interest rates on the economy: An Austrian perspective

2004 ◽  
Vol 7 (1) ◽  
pp. 132-150 ◽  
Author(s):  
P Le Roux ◽  
B Ismail
Keyword(s):  
Interest Rates ◽  
Yield Curve ◽  
Economic Structure ◽  
Curve Analysis ◽  
Short Term ◽  
Capacity Utilisation ◽  
Share Prices ◽  
The Business Cycle ◽  
Investment Goods ◽  
The Impact

Even though econometric models and yield curve analysis are useful in assessing the impact of interest rate changes on the economic structure, their power to predict the magnitude and direction of swings in the business cycle is often restricted to the use of short-term interest rates. From an Austrian school perspective on interest rates, empirical evidence suggests that the profitability of heavy industries further downstream outperforms that of light industries in the initial stages of monetary easing, due to a rising demand for investment goods and a rise in capacity utilisation levels. This paper assesses the impact of interest rates changes on the productive structure of the economy by taking into account the effect thereof on sector earnings and ultimately share prices.

scholarly journals Lower than expected volatility of secondary organic aerosols formed during α-pinene ozonolysis

2017 ◽  
Author(s):  
Kei Sato ◽  
Yuji Fujitani ◽  
Satoshi Inomata ◽  
Yu Morino ◽  
Kiyoshi Tanabe ◽  
...  
Keyword(s):  
Secondary Organic Aerosols ◽  
Yield Curve ◽  
Organic Aerosols ◽  
Curve Analysis ◽  
Oh Radicals ◽  
Ionization Mass ◽  
Mass Analysis ◽  
Volatile Products ◽  
Volatile Organic ◽  
Photochemical Aging

Abstract. Traditional yield curve analysis shows that semi-volatile organic compounds are a major component of secondary organic aerosols (SOAs). We investigated the volatility distribution of SOAs from α-pinene ozonolysis using positive electrospray ionization mass analysis and dilution- and heat-induced evaporation measurements. Laboratory chamber experiments were conducted on α-pinene ozonolysis, in the presence and absence of OH scavengers. Among these, we identified not only semi-volatile products, but also less volatile highly oxygenated molecules (HOMs) and dimers. Ozonolysis products were further exposed to OH radicals to check the effects of photochemical aging. HOMs were also formed during OH-initiated photochemical aging. Most HOMs that formed from ozonolysis and photochemical aging had ten or less carbons. SOA particle evaporation after instantaneous dilution was measured at

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