High-dimensional parameter calibration of interest rate model for the Korean insurance capital standard

Bong-Gyu Jang, Seung Min Baik and Changhui Choi

Journal of Derivatives and Quantitative Studies: ????????????, 2025, vol. 33, issue 1, 23-44

Abstract: We propose a method for calibrating high-dimensional parameters in the Hull–White one-factor model using market prices of swaptions, aimed at generating mark-to-market interest rate scenarios in the Korean insurance industry. Our approach integrates a trust region-based Bayesian optimization technique with a parameter space decomposition method to solve the calibration problem. Empirical studies demonstrate that our method achieves superior stability and effectiveness in calibrating high-dimensional parameters compared to conventional Bayesian optimization approaches.

Keywords: Calibration; Interest rate; Insurance capital standard; Bayesian optimization; Swaption (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/jdqs/article/33/1/23/12437 ... ibration-of-interest (text/html)
https://www.emerald.com/jdqs/article-pdf/33/1/23/9690586/jdqs-07-2024-0031.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:jdqspp:jdqs-07-2024-0031

DOI: 10.1108/JDQS-07-2024-0031

Access Statistics for this article

More articles in Journal of Derivatives and Quantitative Studies: ???????????? from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().