Essays on the Modeling of Risks in Interest-rate and Inflation Markets

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Essays on the Modeling of Risks in Interest-rate and Inflation Markets

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Title: Essays on the Modeling of Risks in Interest-rate and Inflation Markets
Author: Tang Andersen, Allan Sall
Abstract: The topic of this thesis is the modeling of risks in interest-rate and inflation markets. Interest-rate risk is an important issue to investors. For instance, according to BIS (2010) the notional value of over-the-counter interest-rate derivatives markets is 465,260 billion US-dollar. This corresponds to 77 percent of the notional of the entire OTC derivatives market. Thus interest-rate derivatives is at the back-bone of the financial markets. According to ISDA (2009) 83 percent of Fortune 500 companies report using interest-rate derivatives in their risk management. Furthermore, many mortgage-based loans and pension contracts contain either explicit or implicit interest-rate options. Thus a better understanding of the interest-rate derivative markets, and the risk associated with the traded products is of great value, both to financial and non-financial companies as well as individuals....
URI: http://hdl.handle.net/10398/8339
Date: 2011-09-19

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