Czech Yield Curve

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F25473361%3A_____%2F10%3A%230000651" target="_blank" >RIV/25473361:_____/10:#0000651 - 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

Czech Yield Curve

Original language description

We present a yield curve model based on principal component analysis and nonlinear stochastic differential equations. The model is applied everywhere where quantification of interest rate dynamics is needed, i.e. in the Monte Carlo risk management of interest rate instruments or in the evaluation of profitability and risk of interest rate derivatives and different business strategies. Applying presented model, we are also able to price the interest rate derivatives or predict the distribution of interest costs.

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

Brno

Publisher/client name

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Version

CVKS Working Paper, č. 11

Carrier ID

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