Zero Lower Bound Term Structure Modeling - (Applied Quantitative Finance) by L Krippner (Hardcover)
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<p/><br></br><p><b> About the Book </b></p></br></br>"This book provides a comprehensive reference to state of the art zero bound term structure modeling in an applied setting. Based on the author's practical experience in the field, it covers tractable frameworks, macroeconomic foundations for ZLB models, and applications in the field of macro-finance. Split into seven chapters with two appendices, the book first provides an introduction to the principles of term structure modeling, its application to macro-finance and monetary policy, and the complications introduced by the ZLB for nominal interest rates. The following chapters focus on developing unique frameworks to better evaluate ZLB interest rates and bond prices. Finally, the book looks at applications in the field, such as monitoring the stance of unconventional monetary policy and managing fixed income portfolio risk. This book will be an essential desk reference for central bankers, market practitioners, and researchers, and will be a must-read for anyone involved in bond portfolio pricing, risk management, and macroeconomic and monetary policy analysis"--<p/><br></br><p><b> Book Synopsis </b></p></br></br>Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.<p/><br></br><p><b> Review Quotes </b></p></br></br><br><p>"In this book, Leo Krippner thoughtfully explores the model's important implications for both investors and policy makers. Anyone interested in the term structure of interest rates will want to own this book." - Scott F. Richard, Practice Professor of Finance, The Wharton School, University of Pennsylvania and Former Managing Director and Fixed Income Portfolio Manager, Morgan Stanley Investment Management</p> <p>"A timely achievement, Leo's excellent book provides a detailed exposition of the recent progress made in term structure modeling in the new, post-crisis environment. Expertly written and technically superb, this book serves as a useful guide for academics and central bank practitioners alike. A worthwhile read for everyone working on shadow interest rates or interested in monetary policy at the zero lower bound." - Feng Zhu, Senior Economist, Bank for International Settlements</p> <p>"This book is timely in pointing researchers and practitioners to current developments in how to incorporate the zero lower bound in economic models of interest rates." - Jing Cynthia Wu, University of Chicago Booth School of Business</p> <p>"The most extensive treatment of fixed-income pricing in near-zero interest-rate regimes." - Attilio Meucci, Founder, SYMMYS and Chief Risk Officer, KKR</p><br><p/><br></br><p><b> About the Author </b></p></br></br>Leo Krippner is Senior Advisor to the Research Section of the Economics Department at the Reserve Bank of New Zealand.
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