Model Risk in Interest Rate Modelling

Radu Tunaru

Chapter 3 in Model Risk in Financial Markets:From Financial Engineering to Risk Management, 2015, pp 21-53 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionShort Rate ModelsTheory of Interest Rate Term StructureExpectations HypothesisA reexamination of Log EHReconciling the arguments and examplesYield CurveParallel shift of a flat yield curveAnother proof that the yield curve cannot be flatDeterministic maturity independent yieldsConsol modellingInterest Rate Forward Curve ModellingOne-factor or Multi-factor modelsNotes and Summary

Keywords: Model Risk; Risk Management; Financial Engineering; Financial Markets (search for similar items in EconPapers)
Date: 2015
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