Scenario generation for long run interest rate risk assessment

DOI10.1016/J.JECONOM.2017.08.012MaRDI QIDQ1676381zbMATH OpenOpenAlexFDO

Authors Guillaume Roussellet, Emil Siriwardane, 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 managementscenario simulationswitching regimesyield curve forecast

Mathematics Subject Classification ID

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

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Cites work

• 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
• Forecasting the term structure of government bond yields
• Local likelihood density estimation and value-at-risk
• Pricing interest-rate-derivative securities
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Stationarity of multivariate Markov-switching ARMA models
• Staying at zero with affine processes: an application to term structure modelling
• Strict stationarity of generalized autoregressive processes
• Term structure models and the zero bound: an empirical investigation of Japanese yields
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Yield curve modeling and forecasting. The dynamic Nelson-Siegel approach

Cited in

(6)

• Simulation and evaluation of the distribution of interest rate risk
• On complex economic scenario generators: is less more?
• Representative Interest Rate Scenarios
• Editors' introduction
• Ensemble Economic Scenario Generators: Unity Makes Strength
• Generating interest rate scenarios for bank asset liability management

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