T paper proposes an extreme value approach to estimating interest-rate volatility, and shows that during the extreme movements of the U.S. Treasury market the volatility of interest-rate changes is underestimated by the standard approach that uses the thin-tailed normal distribution. The empirical results indicate that (1) the volatility of maximal and minimal changes in interest rates declines...

For many interest rate exotic options, for example options on the slope of the yield curve or American featured options, a one factor assumption for term structure evolution is inappropriate. These options derive their value from changes in the slope or curvature of the yield curve and hence are more realistically priced with multiple factor models. However, efficient construction of short rate...

The existing literature on the stabilizing properties of interest-rate feedback rules has stressed the perils of linking interest rates to forecasts of future inflation. Such rules have been found to give rise to aggregate fluctuations due to self-fulfilling expectations. In response to this concern, a growing literature has focused on the stabilizing properties of interest-rate rules whereby t...

this paper mainly considers a nonstandard risk model with a constant interest rate‎, ‎where both the claim sizes and the inter-arrival times follow some certain dependence structures‎. ‎when the claim sizes are dominatedly varying-tailed‎, ‎asymptotics for the infinite time ruin probability of the above dependent risk model have been given‎.

The purpose of this paper is to predict the lending interest rate and deposit Bangladesh using Autoregressive Integrated Moving Average (ARIMA) model by Box Jenkins. It has been found that ARIMA (1, 0, 1) appropriate in predicting both rates from 2022 2026 data presented World Bank Open Data 1976 2021. To test goodness fit, AIC (Akaike Information Criterion) BIC (Bayesian index values have calc...