Practical Interest Rate Risk Management

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F25473361%3A_____%2F10%3A%230000650" target="_blank" >RIV/25473361:_____/10:#0000650 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Practical Interest Rate Risk Management

Original language description

This article shows how to apply the yield curve modeling in Czech market conditions. We propose a yield curve model that takes into account the whole yield curve, i.e. all observed maturities. Modeling whole observed yield curve is especially suitable for interest rate management, since the commonly used models of short rate fail in describing of the volatility at the longer end of the yield curve. The presented model is tested by the Ministry of Finance of the Czech Republic for interest rate management of state debt portfolio.

Czech name

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Czech description

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Type

A - Audiovisual production

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/1M0524" target="_blank" >1M0524: Research center on competitiveness of Czech economy</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2010

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

ISBN

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Place of publication

Praha

Publisher/client name

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Version

Ekonomické listy CES VŠEM, č. 6

Carrier ID

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