Scenario generation for long run interest rate risk assessment

DOI10.1016/J.JECONOM.2017.08.012zbMath1377.62197OpenAlexW3123510954MaRDI QIDQ1676381

Emil Siriwardane, Guillaume Roussellet, Robert F. Engle

Publication date: 7 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.08.012

zbMATH Keywords

risk managementswitching regimesscenario simulationyield curve forecast

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Interest rates, asset pricing, etc. (stochastic models) (91G30) Markov processes: hypothesis testing (62M02)

Related Items (3)

Ensemble Economic Scenario Generators: Unity Makes Strength ⋮ Editors' introduction ⋮ ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE?

Cites Work

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• A model of the euro-area yield curve with discrete policy rates
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Stationarity of multivariate Markov-switching ARMA models

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