Testing Distributions of Stochastically Generated Yield Curves

Gary G. Venter

ASTIN Bulletin, 2004, vol. 34, issue 1, 229-247

Abstract: A method is introduced for testing the distribution of yield curves that are produced by asset scenario generators. The method is based on historical relationships in the conditional distributions of yield spreads given the short-term rate. As an illustration, this method is used to test a few selected models. To provide background, stochastic modeling for interest rates and fitting methods are briefly discussed.

Date: 2004
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