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Interest Rate Scenarios
analysis is needed at a later date. Specifying individual rates for particular scenarios is a method that ... probabilities in each row is 100 percent. Some individual probabilities could, of course, be zero. Interest ...- Authors: Merlin F Jetton
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Scenario generation
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A Practical Guide to Interest Rate Generators for C-3 Risk Analysis
generators is C-3 risk analysis for pricing or valuation purposes. What is desired is a variety of scenarios ... spread allowances were taken to be symmetric. Table 1 summarizes the features of each mean reversionary ...- Authors: Sarah Christiansen
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Scenario generation
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Statistical Tests of the Lognormal Distribution as a Basis for Interest Rate Changes
Salomon Brothers, Inc. [12]; it is found in Part I, Table 1. Here the three-month and six-month yield data ... n equals 10, 15, 20, 25, 30, and 35 years. Each table (ma- turity) lists for each such period the number ...- Authors: David N Becker, Douglas Doll, Thomas Herzog, Daniel W Tucker
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation