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The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises
Guillaume Horny / Patrick Sevestre / Sanvi Avouyi-Dovi
interest ratesResource overview

The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises

Paper2017

by Guillaume Horny, Patrick Sevestre, Sanvi Avouyi-Dovi

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interest rates

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Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

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