15‚ 2008 Abstract We derive a simple formula for calculating the CDS spread implied by the bond market price. Using no-arbitrage argument‚ the formula expresses the bond implied CDS spread as the sum of bond price‚ bond coupon and Libor zero curve weighted by risky annuities. We show that the bond implied CDS spread is consistent with the standard CDS pricing model if the survival probabilities and recovery are consistent with the bond price. 1. Introduction A CDS contract is an OTC transaction
Premium Bond
as a tractable and simple-to-implement method for extracting market risk factors from observed data. This approach‚ which is informationally efficient‚ quantifies the risk associated with portfolios using three principal factors that affect yield curves. Due to the orthogonal nature of the factors‚ correlation and covariance between the yields do not have to be explored‚ simplifying the calculation of VaR for the portfolios. Results of this paper indicate that the PC VaR outturn for the Jamaican
Premium Bank Principal component analysis Singular value decomposition
circumstances using the labor-leisure model. As I am not actively looking for work in the labor market my indifference curve is so steep there are no tangencies to my reservation wage‚ which is defined as the “lowest wage rate at which a worker is willing to accept a job.” By dedicating all my time to studying and practise‚ and none to the labor force my indifference curve has no tangency to my constraint. As a rational person who wants to maximize utility; the current wage rate is not high enough
Premium Economics Consumer theory Microeconomics
KENYATTA UNIVERSITY INSTITUTE OF OPEN DISTANCE & e-LEARNING IN COLLABORATION WITH SCHOOL OF ECONOMICS DEPARTMENT 0F ECONOMIC THEORY EET 200: MICROECONOMICS THEORY II Copyright © Kenyatta University‚ 2011 All Rights Reserved Published By: KENYATTA UNIVERSITY PRESS INTRODUCTION OBJECTIVES TABLE OF CONTENTS CONSUMER THEORY LECTURE ONE.
Premium Consumer theory Preference
EC 3101: Microeconomic Analysis II A/P Indranil A/P Indranil Chakraborty All relevant details on EC3101 are in the syllabus The morning office hours on Tuesday will start from the third week of lectures t tf th thi d k fl t Important Highlights Important Highlights • Text book: Intermediate Microeconomics: A modern h approach by Hal R. Varian (8th edition) One midterm and one final exam Please do not email material‚ lecture or exam related questions. Post your questions precisely on IVLE Forum or ask
Premium Consumer theory Preference Microeconomics
longer-term bonds are higher than shorter-term bonds’. The term structure of interest rates should be graphed as a curve line of zero-coupon bonds‚ in fact‚ it describe the relationship between matures and coupon date. Using the date provided in the case‚ we can construct the following three yield curves: a. COUGARs Strip Yield Curve This is the adjusted COUGARs strip yield curve that takes the discounted rate (8.11%) into account. The adjustment is necessary because the prices provided
Premium Bond
1)What is the development and growth ?How differ from each other? Growth is referred to the increase of per capita real gross domestic product over a period of time. Real GDP is a quantitative concept since it involves increased productive capacity in an economy‚ which leads to rising national output‚ incomes and living standards over time. Growth can occur from two main factors: 1. The increased use of resources such as land‚ labour‚ capital and entrepreneurial resources due to improvements in
Premium Third World Economics Gross domestic product
event‚ perhaps we could afford to be that narrow minded. But that is not the way life works. Life has a learning curve Have you ever accomplished anything worthwhile that only required one attempt to get it right? Have you ever seen a baby go from crawling to walking without ever falling down in the process? Falling down is part of learning to walk because there’s a learning curve. “You got to learn how to fall‚ before you learn to fly” -Paul Simon This means that most successes will be
Premium Learning curve Psychology Learning
as control of inflation‚ investment as well as employment. Interest rates refer to the price paid by deficit agents for borrowing funds from the surplus agents. A line that plots interest rate at a set point in time is the term structure or yield curve. Interest rates which may be short term or long term are linked to a government’s macro-economic policy and future expectations of such a policy .The UK government uses Treasury bill and bond prices to implement its monetary policy. Bills‚ which are
Premium Monetary policy Inflation Central bank
1. Economies of Scale. If the firms produces in an industry with very high fixed costs‚ consumers can benefit from a large firm which can exploit economies of scale. Economies of scale lead to lower long run average costs and therefore give the potential of lower prices. Example: Would you want several firms providing tap water? Would it make sense to have 2-3 companies laying a network of water pipes and sewage systems across the country? No. It is better to have 1 firm. This is an example of
Free Economics