Jezik: | Slovenski jezik |
---|---|
Leto izida: | 2019 |
Tipologija: | 2.09 - Magistrsko delo |
Organizacija: | UL FMF - Fakulteta za matematiko in fiziko |
Založnik: | [U. Bele] |
UDK: | 519.2 |
COBISS: | 18772569 |
Št. ogledov: | 1451 |
Št. prenosov: | 293 |
Ocena: | 0 (0 glasov) |
Metapodatki: |
Sekundarni jezik: | Angleški jezik |
---|---|
Sekundarni naslov: | The modelling of the term structure of German Government Bonds by using the ACM Model |
Sekundarni povzetek: | Market agents can invest in short- or long-term bonds. The latter are more exposed to various types of market risks. This is why the risk-averse investors demand a compensation in a form of risk premium. A nominal yield can be decomposed into two components: risk-neutral yield and term premium. None of the components is directly observable, therefore they need to be estimated by using econometric models. The present thesis covers a detailed mathematical derivation of the ACM model and its application to the modelling of the term structure of German government bonds. It assesses and compares the in- and out-of-sample performance of the model's variations. In-sample analysis includes approximation and decomposition of the term structure of interest rates. The dynamics of both components over time is interpreted from the macroeconomic point of view. Out-of-sample analysis generates and compares short-rate predictions up to three years ahead. |
Sekundarne ključne besede: | yield curve;risk-free interest rate;expectation theory;term structure;term premium;affine term structure model;pricing kernel;market price of risk;pricing factor;linear regression;principal component analysis; |
Vrsta dela (COBISS): | Magistrsko delo/naloga |
Študijski program: | 0 |
Konec prepovedi (OpenAIRE): | 1970-01-01 |
Komentar na gradivo: | Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja |
Strani: | XVI, 73 str. |
ID: | 11270660 |