Scenario generation for long run interest rate risk assessment
| Autor: | Emil Siriwardane, Guillaume Roussellet, Robert F. Engle |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
Heteroscedasticity Computer science media_common.quotation_subject Simple (abstract algebra) 0502 economics and business Econometrics Risk management Standard model (cryptography) media_common 040101 forestry 050208 finance business.industry Applied Mathematics 05 social sciences Statistical model 04 agricultural and veterinary sciences Interest rate Treasury Term (time) Interest rate risk Short-rate model Benchmark (computing) 0401 agriculture forestry and fisheries Yield curve business |
| Zdroj: | Journal of Econometrics. 201:333-347 |
| ISSN: | 0304-4076 |
| DOI: | 10.1016/j.jeconom.2017.08.012 |
| Popis: | We propose a statistical model of the term structure of U.S. treasury yields tailored for long-term probability-based scenario generation and forecasts. Our model is easy to estimate and is able to simultaneously reproduce the positivity, persistence, and factor structure of the yield curve. Moreover, we incorporate heteroskedasticity and time-varying correlations across yields, both prevalent features of the data. The model also features a regime-switching short-rate model. We evaluate the out-of-sample performance of our model in terms of forecasting ability and coverage properties, and find that it improves on the standard Diebold and Li model. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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