Estimating the spot rate curve using the Nelson–Siegel model: A ridge regression approach
The Nelson–Siegel model is widely used in practice for fitting the term structure of interest
rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a …
rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a …
[PDF][PDF] Predictability in the shape of the term structure of interest rates
FJ Fabozzi, L Martellini, P Priaulet - Journal of Fixed Income, 2005 - hughchristensen.com
PHILIPPE PRIAULET is a derivatives strategist at HSBC-CCF in Paris and associate
professor of mathematics at the University of Evry Val d'Essonne in Evry, France. philippe …
professor of mathematics at the University of Evry Val d'Essonne in Evry, France. philippe …
[BOOK][B] Credit risk pricing models: Theory and practice
B Schmid - 2012 - books.google.com
This new edition is a greatly extended and updated version of my earlier monograph"
Pricing Credit Linked Financial Instruments"(Schmid 2002). Whereas the first edition …
Pricing Credit Linked Financial Instruments"(Schmid 2002). Whereas the first edition …
Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure
We investigate here the sensitivity of the equity values of a large sample of German financial
institutions to movements in the term structure of interest rates. While similar approaches rely …
institutions to movements in the term structure of interest rates. While similar approaches rely …
Immunization using a stochastic-process independent multi-factor model: The Portuguese experience
JMV Bravo, CMP da Silva - Journal of Banking & Finance, 2006 - Elsevier
In this paper, we evaluate the relative immunization performance of the M-vector proposed
by Nawalkha and Chambers (1997)[Nawalkha, SK, Chambers, DR, 1997. The M-vector …
by Nawalkha and Chambers (1997)[Nawalkha, SK, Chambers, DR, 1997. The M-vector …
[HTML][HTML] The use of principal component analysis (pca) in building yield curve scenarios and identifying relative-value trading opportunities on the romanian …
A Oprea - Journal of Risk and Financial Management, 2022 - mdpi.com
Based on previous research addressing the use of principal component analysis (PCA) in
modeling the dynamics of sovereign yield curves, in this paper, we investigate certain …
modeling the dynamics of sovereign yield curves, in this paper, we investigate certain …
Interest rate risk rewards in stock returns of financial corporations: Evidence from Germany
The interest rate sensitivity of stock returns of financial and non‐financial corporations is a
well‐known phenomenon. However, only little is known about the part of total stock returns …
well‐known phenomenon. However, only little is known about the part of total stock returns …
Generalized M-vector models for hedging interest rate risk
SK Nawalkha, GM Soto, J Zhang - Journal of Banking & Finance, 2003 - Elsevier
This paper generalizes the M-square and M-vector models [Fong and Fabozzi, Appendix E:
Derivation of Risk Immunization Measures, in: Fixed Income Portfolio Management, Dow …
Derivation of Risk Immunization Measures, in: Fixed Income Portfolio Management, Dow …
Term structure estimation from on-the-run Treasuries
JV Jordan, SA Mansi - Journal of Banking & Finance, 2003 - Elsevier
Five methods of estimating the term structure from on-the-run Treasuries are compared with
respect to error in spot rate estimation, forward rate estimation, and coupon bond pricing …
respect to error in spot rate estimation, forward rate estimation, and coupon bond pricing …
Calibrating the Nelson-Siegel-Svensson model by genetic algorithm
A Lakhany, A Pintar, A Zhang - arXiv preprint arXiv:2108.01760, 2021 - arxiv.org
Accurately fitting the term structure of interest rates is critical to central banks and other
market participants. The Nelson-Siegel and Nelson-Siegel-Svensson models are probably …
market participants. The Nelson-Siegel and Nelson-Siegel-Svensson models are probably …