Revisiting Interest Rate Pricing Models from an Indian Perspective : Lessons and Challenges

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)12_Chapter in an edited book (Author)Not applicablepeer-review

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Original languageEnglish
Title of host publicationRethinking valuation and pricing models
Subtitle of host publicationlessons learned from the crisis and future challenges
EditorsCarsten S. Wehn, Christian Hoppe, Greg N. Gregoriou
Place of PublicationOxford, UK
PublisherElsevier/Academic Press
Pages571-583
ISBN (Print)9780124158757
Publication statusPublished - 22 Nov 2012

Abstract

Indian debt market reform started with the primary purposes of inducing the government to borrow at market rate and insulating the banking system from systemic crises. The experiences during last two decades include (a) emergence of benchmark rates though the yield curve construction methodology still remains an issue, and (b) inability of the gilt market to satisfy higher risk appetite of non-bank entities resulting in rising demand for corporate bonds but price discovery thereof still remains a challenge because of weak legal recourse against defaulters. This paper discusses pricing and trading issues on the Indian interest rate market, especially after the crisis during 2007–08.

Citation Format(s)

Revisiting Interest Rate Pricing Models from an Indian Perspective : Lessons and Challenges. / Das, Rituparna; Wong, Michael C.S.

Rethinking valuation and pricing models: lessons learned from the crisis and future challenges. ed. / Carsten S. Wehn; Christian Hoppe; Greg N. Gregoriou. Oxford, UK : Elsevier/Academic Press, 2012. p. 571-583 35.

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)12_Chapter in an edited book (Author)Not applicablepeer-review