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Special Report on

Term-Structure Models

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We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nine Dai and Singleton (2000) affine models. Simulations show our technique very accurately approximates true (but infeasible) MLE. Using US Treasury data, we estimate nine affine yield models with different market price of risk specifications. MLE allows non-nested model comparison using likelihood ratio tests; the preferred model depends on the market price of risk. Estimation with simulated and real data suggests our technique is much closer to ...
In its most generic formulation, it belongs to the class of no-arbitrage models that are able to fit today's term structure of interest rates. It is relatively straight-forward to translate the mathematical description of the evolution of future interest rates onto a tree or lattice and so interest rate derivatives such as bermudan swaptions can be valued in the model. The first Hull–White model was described by John C. Hull and Alan White in 1990. The model is still popular in the market today.
Ebook Credit Risk Modeling and the Term Structure of Credit ...
Research in modeling and pricing of credit default risk has made a great progress during the past few decades. Since the ground breaking studies of Black and Scholes (1973) and Merton (1974), much of the literature has followed their steps to measure a firm’s credit risk using its asset value and debt information. Although this “structural” framework has a sound economic interpretation of default, this type of models turns out to be less successful in practical applications due to the difficulties of obtaining the accurate asset value information and providing a realistic default boundary condition. Moreover, since in the ... market research, surveys and trends
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THROWING AWAY A BILLION DOLLARS: The Cost of Suboptimal Exercise ...
percent higher than the value implied by the single-factor model. ...... well- known property of single-factor term structure models is that they imply that ... industry trends, business articles and survey research
Information in (and not in) the term structure Gregory R. Duffee ...
Aug 7, 2009 ... term structure models. In a literature spanning more than two decades, researchers have ... factor accounts for about 30 percent of the total variance in ...... one million months of bond yields (the maturities are three ... industry trends, business articles and survey research
IMF Backs Efforts in Europe to Cut Deficits
The International Monetary Fund lent its support Wednesday to Europe’s budget deficit reduction efforts, pulling away from previous calls for stimulus even as it warned of a “moderate and uneven” recovery in the region, Matthew Saltmarsh reports in The New York Times. In response to increasing budget gaps in the region, “fiscal sustainability needs to be established, with ambitious medium- and long-term adjustment plans supplemented by short-term consolidation,” the fund said in an annual staff report on the euro economy. The comments solidified the fund’s U-turn in its guidance for euro-area policy makers. Late last year, ... market trends, news research and surveys resources
Oil spill hearings: Safety procedure was unfamiliar to BP worker in charge
by the Coast Guard and the Bureau of Ocean Energy Management, Regulation and Enforcement investigating the causes of the Deepwater Horizon oil rig explosion on April 20 . Brett Duke, The Times-Picayune Miles P. Clements, representing Transocean, asks questions during the Deepwater Horizon joint investigation hearings Thursday at the Radisson Hotel in Kenner. The BP employee who wrote the procedure for installing a protective lockdown sleeve in the Macondo oil well said he had never done the job before. Shane Albers, BP's subsea engineer, also told internal company investigators after the well blew April 20 that the device ... market trends, news research and surveys resources


Term-Structure Models: a Review
general, term-structure models can be of interest to relative-value bond ... Term-structure models have therefore been used in different ways by differ- ... technology research, surveys study and trend statistics
Jump-Diffusion Processes and Affine Term Structure Models ...
Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to ... technology research, surveys study and trend statistics
  1. profile image dvandeventer @credittrader RE term structure of systematic risk, KRIS models now have embedded 120 months of forward PDs with macro factor links to all.
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How to do financial modeling without programming? - Yahoo! Answers
It is really impressive to see that all the complex modelings in financial engineering can be implemented with Excel functions. I will ask all my team members to learn this method. Report Abuse * You must be logged into Answers to add comments. Sign in or Register .
A question about how to estimate parameters of Nelson-Siegel Model ...
Now I have some rate data of different maturities, and want to use Nelson_Sigel Model, and try to estimate parameters.(ie. theta_1, 2,3,4), so I choose the least square of theoretical price and estimated price, then get optimal solution to those parameters. But using Excel Solver, I find answers vary with my start values of parameter. It seems Solver delivers neighbourhood optimal solution. Is it right? And how can I get best estimantes? Thank you! posted October 23, 2008 in Bond Markets | Closed Share This Associate Professor of Finance, UNC Charlotte see all my answers This was selected as Best Answer The Excel solver is most ...