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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dc.contributor.author Tang Andersen, Allan Sall
dc.date.accessioned 2011-09-19
dc.date.accessioned 2011-09-19T06:15:20Z
dc.date.available 2011-09-19T06:15:20Z
dc.date.issued 2011-09-19
dc.identifier.isbn 9788792842015
dc.identifier.isbn 9788792842008
dc.identifier.issn 0906-6934
dc.identifier.uri http://hdl.handle.net/10398/8339
dc.description.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.... en_US
dc.format.extent 233 en_US
dc.language eng en_US
dc.publisher Samfundslitteratur en_US
dc.relation.ispartofseries PhD Series;20.2011
dc.title Essays on the Modeling of Risks in Interest-rate and Inflation Markets en_US
dc.type phd en_US
dc.accessionstatus modt11sep19 lbjl en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI en_US
dc.idnumber 9788792842015 en_US
dc.publisher.city Frederiksberg en_US
dc.publisher.year 2011 en_US


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