1. IR@IIMC
  2. Artha
  3. 2022, Volume 10
  4. Issue 1, August 2022 (10th Anniversary Issue)
Please use this identifier to cite or link to this item: https://ir.iimcal.ac.in:8443/jspui/handle/123456789/3901
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dc.contributor.authorKumar, Sudarshan-
dc.date.accessioned2022-08-26T08:36:04Z-
dc.date.available2022-08-26T08:36:04Z-
dc.date.issued2022-08-
dc.identifier.urihttps://ir.iimcal.ac.in:8443/jspui/handle/123456789/3901-
dc.descriptionBiosketch: 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.en_US
dc.description.abstractThe 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).en_US
dc.language.isoen_USen_US
dc.publisherThe Financial Research and Trading Laboratory (FRTL), IIM Calcuttaen_US
dc.subjectYield curveen_US
dc.subjectBond marketen_US
dc.subjectAffine term structure models (ATSM)en_US
dc.subjectCCIL termen_US
dc.subjectNational Stock Exchange (NSE)en_US
dc.subjectWholesale Debt Market (WDM)en_US
dc.subjectForeign exchange marketsen_US
dc.subjectNelson-Siegel modelen_US
dc.titleHarvesting the yield curve mispricing: Evidence from the Indian government bond marketen_US
dc.typeArticleen_US
Appears in Collections:Issue 1, August 2022 (10th Anniversary Issue)

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