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https://ir.iimcal.ac.in:8443/jspui/handle/123456789/3901| Title: | Harvesting the yield curve mispricing: Evidence from the Indian government bond market |
| Authors: | Kumar, Sudarshan |
| Keywords: | Yield curve Bond market Affine term structure models (ATSM) CCIL term National Stock Exchange (NSE) Wholesale Debt Market (WDM) Foreign exchange markets Nelson-Siegel model |
| Issue Date: | Aug-2022 |
| Publisher: | The Financial Research and Trading Laboratory (FRTL), IIM Calcutta |
| Abstract: | The yield curve represents the prevailing interest rates in the economy for different times to maturity and is essential for pricing a well-functioning bond market. Yield curve modeling is a crucial area of research in finance. In an efficient bond market, any arbitrage opportunity is driven away immediately by the traders. Therefore, the no-arbitrage restriction is an important consideration to model the yield curve. Affine term structure models (ATSM) are the most popular class of arbitrage-free term structure models. Notwithstanding their theoretical consistency, ATSMs suffer in terms of empirical performance (Duffee, 2002). |
| Description: | Biosketch: Prof. Sudarshan Kumar is a faculty member in the Finance and Control group at IIM Calcutta. He is B.Tech. (Hons.) in Civil Engineering from IIT Kharagpur, and PhD in Finance from IIM Ahmedabad. He primarily works in the area of quantitative finance and fixed income and has published in many prestigious journals including European Journal of Finance, Journal of Complex networks, and journal of computational social science. He also has several scholarly research papers in the pipeline. He is also on the editorial board of A₹tha. |
| URI: | https://ir.iimcal.ac.in:8443/jspui/handle/123456789/3901 |
| Appears in Collections: | Issue 1, August 2022 (10th Anniversary Issue) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Harvesting the yield curve mispricing.pdf | Harvesting the yield curve mispricing: Evidence from the Indian government bond market | 15.36 MB | Adobe PDF |  View/Open |
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