term structure of interest rates
51parallel yield curve shift — A change in interest rates that affects all of the different maturities for an instrument by the same amount. For example, if there was a parallel shift in U. S. Treasury rates in the amount of a 25 basis point increase, every maturity from 30… …
52Cox-Ingersoll-Ross model — The Cox Ingersoll Ross model in finance is a mathematical model describing the evolution of interest rates. It is a type of one factor model (Short rate model) as describes interest rate movements as driven by only one source of market risk. The… …
53ПРОЦЕНТ — (interest) Плата, взимаемая за заем суммы денег. Процентная ставка (rate of interest) – плата, выраженная как процент от общей кредитуемой суммы на определенный период времени, обычно на год. Так, процентная ставка, равная 15% ежегодно, означает …
54CIR process — The CIR process (named after its creators John C. Cox, Jonathan E. Ingersoll, and Stephen A. Ross) is a Markov process with continuous paths defined by the following stochastic differential equation (SDE): where Wt is a standard Wiener process… …
55FTP — funds transfer pricing (FTP) An internal cost accounting system or methodology that transfers a cost of funds expense to profit centers that generate assets and a credit for funds to profit centers that provide funding. Most funds transfer… …
56funds transfer pricing — ( FTP) An internal cost accounting system or methodology that transfers a cost of funds expense to profit centers that generate assets and a credit for funds to profit centers that provide funding. Most funds transfer pricing systems are matched… …
57Replicating portfolio — In the valuation of a life insurance company, the actuary considers a series of future uncertain cashflows (including incoming premiums and outgoing claims, for example) and attempts to put a value on these cashflows. There are many ways of… …
58yield curve — A curve on a graph in which the yield of fixed interest securities is plotted against the length of time they have to run to maturity. The yield curve usually slopes upwards, indicating that investors expect to receive a premium for holding… …
59Courbe des taux — Une courbe des taux, en finance, (Yield Curve en anglais) est la représentation graphique de la fonction mathématique du taux d intérêt effectif à un instant donné d un zéro coupon en fonction de sa maturité d une même classe d instruments… …
60Joseph E. Stiglitz — Joseph Eugene Stiglitz Pour les articles homonymes, voir Stiglitz (homonymie). Joseph Eugene Stiglitz …
