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https://www.ccilindia.com/documents/d/ccil/WP014 Modelling Issues in Efficient Term Structure Estimation- A Study of the Indian Government Securities Market (2)-pdf |
Term Structure of Interest rate estimation, Zero Coupon Yield Curve, Nelson Siegel Model, Bond Pricing, Optimization |
WP/014 |
Modelling Issues in Efficient Term Structure Estimation: A Study of the Indian Government Securities Market |
Golaka C Nath, Vardhana Pawaskar, Sahana Rajaram, Manoel Pacheco & Ritesh Bagade |
06-Jan-2021 |
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https://www.ccilindia.com/documents/d/ccil/WP013_Revisiting_The_Theory_Of_Interest_Rate_Determinants_In_India-pdf |
Interest Rate Evolution, Bond interest rates, GMM |
WP/013 |
Revisiting The Theory Of Interest Rate Determinants In India |
Golaka C Nath, Vardhana Pawaskar, Debajyoti Das, Ritesh Bagade & Pravin Shinde |
05-Jan-2021 |
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https://www.ccilindia.com/documents/d/ccil/WP012_SOFR Index-A Plausible Tool For Computing the Modified MIFOR Curve in India_12-pdf |
Covered Interest Rate Parity, Market Design, Interest rates, Banks, Non-Banks, LIBOR transition, Benchmark rate, MIFOR Curve, Index |
WP/012 |
SOFR Index-A Plausible Tool For Computing the Modified MIFOR Curve in India |
Golaka C Nath & Manoel Pacheco |
19-Nov-2020 |
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https://www.ccilindia.com/documents/d/ccil/WP011_Impact of LIBOR transition on MIFOR Benchmark_Sep_2020_version 2-pdf |
Covered Interest Rate Parity, Market Design, Interest rates, Banks, Non-Banks, LIBOR transition, Benchmark rate, MIFOR Curve |
WP/011 |
Impact of LIBOR Transition on MIFOR Benchmark (Version 2) |
Golaka C Nath & Manoel Pacheco |
22-Sep-2020 |
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https://www.ccilindia.com/documents/d/ccil/WP010_Microstructure_Of_Sub-Sovereign_Bond_Spreads_The_Case_Of_Federal_State_Bonds_In_India-pdf |
Interest Rate, Debt management, State Borrowing, Asset pricing, Bond interest rates |
WP/010 |
Microstructure Of Sub-Sovereign Bond Spreads The Case Of Federal State Bonds In India |
Golaka C Nath, Vardhana Pawaskar & Priyanka Shiraly |
25-Nov-2019 |
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https://www.ccilindia.com/documents/d/ccil/WP009_Testing the Expectations Hypothesis and Explaining The Determinents of Term Premia-pdf |
Expectations Hypothesis, VECM, Long Run Restrictions, Exogeneity Test, Granger Causality, Term Premia, Risk Factors, Multiple Partial Least Squares |
WP/009 |
Testing the Expectations Hypothesis and Explaining The Determinents of Term Premia |
Golaka C Nath, Manoj Dalvi, Vardhana Pawaskar & Manoel Pacheco |
01-Nov-2019 |
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https://www.ccilindia.com/documents/d/ccil/WP008_Empirical_Analysis_of_Efficiency_in_Indian_Gold_Futures_Market_8-pdf |
Gold futures, market efficiency, price discovery, vector error correction model, Gonzalo Granger statistic, optimal hedge ratio |
WP/008 |
An Empirical Analysis of Efficiency in the Indian Gold Futures Market |
Golaka C Nath, Manoj Dalvi, Vardhana Pawaskar, Sahana Rajaram & Manoel Pacheco |
01-Oct-2018 |
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https://www.ccilindia.com/documents/d/ccil/WP007_Repo_Market_And_MROR_As_Collateralized_Benchmark_Rate_7-pdf |
Market Repo, Liquidity, T-Test, Spreads, Call Money Market, Anonymous Trading, Lending, Borrowing |
WP/007 |
Repo Market And MROR As Collateralized Benchmark Rate |
Golaka C Nath |
01-Aug-2018 |
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https://www.ccilindia.com/documents/d/ccil/WP006_MIBOR-OIS_A_Concept_Note_On_Methodology_6-pdf |
Benchmark, OTC Derivatives, OIS Curve, T-Bill, Spreads, Anonymous Trading |
WP/006 |
MIBOR-OIS Curve A Concept Note On Methodology |
Golaka C Nath |
02-Jul-2018 |
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https://www.ccilindia.com/documents/d/ccil/WP005_Estimation_Of_A_Benchmark_CD_Curve_5-pdf |
Certificate of Deposits, T-Bills, Spread, Tenors, Regression, Efficiency |
WP/005 |
Estimation Of A Benchmark Certificate of Deposit (CD) Curve |
Golaka C Nath & Manoel Pacheco |
01-Jun-2018 |
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https://www.ccilindia.com/documents/d/ccil/WP004_Estimation_Of_Benchmark_Treasury_Bills_Curve_4-pdf |
T-Bills, Spread, Tenors, Regression, Efficiency |
WP/004 |
Estimation Of Benchmark Treasury Bills Curve |
Golaka C Nath & Manoel Pacheco |
02-May-2018 |
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https://www.ccilindia.com/documents/d/ccil/WP003_Methodology_For_Computation_Of_Benchmark_Forward_Premia_and_MIFOR_Curve_3-pdf |
Forward Premia, Benchmark, Fx-Swaps, Year-end Turn, Two Sample T-Test, Distribution Analysis, LIBOR |
WP/003 |
Methodology For Computation Of Benchmark Forward Premia and MIFOR Curve |
Golaka C Nath, Sahana Rajaram & Manoel Pacheco |
02-Apr-2018 |
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https://www.ccilindia.com/documents/d/ccil/WP002_Designing_An_Unbiased_Reference_Rate_2-pdf |
Central Bank, Simulation, Reference Rate, Efficiency |
WP/002 |
Designing An Unbiased Reference Rate |
Golaka C Nath |
01-Mar-2018 |
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https://www.ccilindia.com/documents/d/ccil/WP001_MIBOR_Benchmark_Calculation_and_Methodology_1-pdf |
Central Bank, Simulation, Reference Rate, Efficiency |
WP/001 |
MIBOR Benchmark Calculation and Methodology |
Golaka C Nath |
01-Feb-2018 |
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