Resource title

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

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Resource description

The topic of this thesis is the modeling of risks in interest-rate and inflationmarkets.Interest-rate risk is an important issue to investors. For instance, accordingto BIS (2010) the notional value of over-the-counter interest-rate derivativesmarkets is 465,260 billion US-dollar. This corresponds to 77 percent of thenotional of the entire OTC derivatives market. Thus interest-rate derivativesis at the back-bone of the financial markets. According to ISDA (2009)83 percent of Fortune 500 companies report using interest-rate derivatives intheir risk management. Furthermore, many mortgage-based loans and pensioncontracts contain either explicit or implicit interest-rate options. Thusa better understanding of the interest-rate derivative markets, and the riskassociated with the traded products is of great value, both to financial andnon-financial companies as well as individuals....

Resource author

Allan Sall Tang Andersen

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Resource language

eng

Resource content type

application/pdf

Resource resource URL

http://hdl.handle.net/10398/8339

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