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Joint Probabilities of Interest Rates
A NUMERICAL EXPOSITION OF BONDLIABILITY
2 other sections not shown
20 year Municipal Autocorrelation bank's beginning of period Bond Portfolio Management Bond-Liability Portfolio Selection bonds purchased bonds selected Box-Jenkins capital adequacy Capital Gains Losses cash fund cd H Certificate of Deposit classes of bonds commercial banks conditional probabilities Crane decision variables Deposit 5 yrs deposit level dynamic programming falling hump yield five discrete points forecasting formulated future interest rates Government security 20 highest coupon rate hump yield curve interest rates Issue liquidity loans loss constraint mathematical programming Municipal bonds Municipal medium Municipal prime Note 10 yrs objective function Optimal Bond-Liability Portfolio parameters planning horizon pledging requirement Portfolio Selection Model prime grade bond programming model programming problem public deposits random variables rising hump second period security 20 yrs security is bought Sell sloping yield curve sold strategies term structure two-stage linear programming U.S. Government security U.S. Govt yield spreads yield to maturity Yields and Capital