Author: Young Ho EomPublisher:
ISBN:
Category : Bonds
Languages : en
Pages : 68
Book Description
Coupon Effects and the Pricing of Japanese Government Bonds
Author: Young Ho EomCoupon Effects and the Pricing of Japanese Government Bonds
Author: Young Ho EomPublisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
In many markets, the term structure of interest rates implied by coupon Treasury bonds provides a key input for pricing and hedging interest rate-sensitive securities. Previous studies in the Japanese market, however, suggest that the prices of the Japanese Government Bonds (JGB's) were significantly affected modelling in the Japanese context bases on interest rate factors could leave to misleading results. Since the previous studies, there have been significant structural changes in the regulatory environment, and in the liquidity of the Japanese bond market in the 1990's. In this light, we examine the effect of these changes on the JGB prices during the period between 1990 and 1996, by analyzing the term structure of interest rates in the JGB market over time. Specifically, we use the B-spline method to fit the term structure of interest rates using weekly prices of quot;non-benchmarkquot; ten-year JGB's. We also use a non-linear econometric model to examine the significance of the quot;couponquot; effects, which are the results of regulatory, accounting and liquidity factors.
Comparative Analysis of Zero Coupon Yield Courve Estimation Methods Using JGB Price Data
Author: Kentaro KikuchiAssessing the Risks to the Japanese Government Bond (JGB) Market
Author: Mr.Waikei W. LamPublisher: International Monetary Fund
ISBN: 1463927266
Category : Business & Economics
Languages : en
Pages : 19
Book Description
Despite the rise in public debt, Japanese Government Bond (JGB) yields have remained low and stable, supported by steady inflows from the household and corporate sectors, high domestic ownership of JGBs, and safe-haven flows from heightened sovereign risks in Europe. Over time, however, the market's capacity to absorb new debt will likely shrink as population ages and risk appetite recovers. In the short term, a decline in fund supply from the corporate sector, where financial surpluses are abnormally high, and spillovers from global financial distress could push up JGB yields. Fiscal reforms to reduce public debt more quickly and lengthen the maturity of government bonds will help limit these risks.
Guide to Japanese Government Bond
Author: Trading and Investing in Bond Options
Author: M. Anthony WongPublisher: John Wiley & Sons
ISBN: 9780471525608
Category : Business & Economics
Languages : en
Pages : 318
Book Description
To become successful in the bond options market, it is important for professionals to gain a basic, yet thorough understanding of how options are priced, traded, and used in interest-rate risk and fixed-income portfolio management. Provides practical answers to questions that new participants will ask as they become more sophisticated in the bond option market. It describes the U.S. government bond options markets and discusses how options pricing and computer technologies are used in market-making, strategic trading, and value investing. After introducing standard options terminology, it provides background data on U.S. Treasury bonds, bond options pricing models, advanced pricing models, the fundamentals of bond options dealing, strategies driven by interest rate forecasts, the most widely used structured portfolio strategies involving options, and more.
The Japanese Bond Markets
Author: Frank J. FabozziPublisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 560
Book Description
Pricing of Japanese Government Bonds
Author: Capital Markets and Institutions
Author: Linda AllenPublisher: John Wiley & Sons
ISBN: 0471130494
Category : Business & Economics
Languages : en
Pages : 804
Book Description
Intended for Junior/Senior/MBA course in Financial Markets, Capital Markets and Institutions. Using an international focus, this text integrates the financial markets with the activities of financial intermediaries. This approach enables students to understand the role of financial intermediaries in the development of financial markets. Throughout the text, the emphasis is on "how things are done on the street." The origins, major participants, pricing and settlements and typical transactions for all financial markets are also included.
Japanese Financial Markets
Author: Junichi UjiiePublisher: Elsevier
ISBN: 1855738759
Category : Business & Economics
Languages : en
Pages : 497
Book Description
The first edition of Japanese Financial Markets established itself as a standard work on one of the most important financial centres in the world. Since then there have been substantial changes, most notably a serious financial crisis and major subsequent reforms of the financial system. Written by leading analysts from the prestigious Nomura Group, this authoritative second edition explains these changes and their consequences for the current structure and operation of the country's financial markets. The book is arranged in four main sections: - Part one provides an overview of the recent performance of Japan's financial markets, the crisis in the 1990s, government reforms and the subsequent 'Big Bang' in the country's financial system. - Part two looks at the range of participants in the market, from individual investors, public sector and corporate pension funds to investment trusts, government bond issues and the equity market. This section of the book also discusses cross-border money flows, monetary policy and the regulatory framework. - Part three discusses the markets themselves, covering the money and bond markets, trading in equities and securities and the venture capital market. - Part four considers current problems and likely future developments in the financial system.This major new edition of Japanese Financial Markets is essential reading for fund managers, institutional investors, financial analysts and all those concerned with one of the world's most important financial markets. - Comprehensively updated new edition of a standard work - Covers all aspects of Japanese financial markets in detail - Written by a distinguished banker with unrivalled insight into Japanese financial markets' workings