Empirical Yield-Curve Dynamics, Scenario Símulation and Risk-Measures
نویسندگان
چکیده
منابع مشابه
Empirical Yield-curve Dynamics, Scenario Simulation and Risk-measures
This paper has two objectives. First we will construct a general model for the variation in the term structure of interest rates, or to put it another way, we will define a general model for the shift function. Secondly, we will specify a Risk model which uses the shift function derived in the first part of the paper as its main building block. Using Principal Component Analysis (PCA) we show t...
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Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed methodology is applied to monthly interest rates for four southern European countries: Greece, Italy, Portugal and Spain from the introduction of the Euro to the recent European sovereign-debt crisis. Analyzing this extraordinary period, we compare our approach with the standard ...
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CONTENTS Introduction: Handling multiple risk factors 1. Methodological introduction 2. Non-parallel risk, duration bucketing and partial durations 3. Limitations of key rate duration analysis I Principal component analysis 1. Definition and examples from US Treasury market 2. Meaningfulness of factors: dependence on dataset 3. Correlation structure and other limitations of the approach II Inte...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2166834