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A Practical Guide to Interest Rate Generators for C-3 Risk Analysis
Shiu [1], Boyle [3], Hogan and Breidbart [9], Sharp [17]). Some models are based on statistical methods ... sensitive to changes in parameters. Figures 10--17 show a sample of the yearly changes in the 1-year ...- 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
But 1 +17 =PT+ql/P,"; thus the lognormal assumption for bond prices implies that the In(1 +17) is normally ... are STATISTICAL TESTS OF LOONORMAL DISTRIBUTION 17 standardized techniques for collecting and recording ...- 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
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Interest Rate Scenarios
Interest Rate Scenarios This paper describes several methods of creating interest rate scenarios ... [3]. Indeed, Bookstaber, Jacob and Langsam [1, p. 17] write: "Despite the pernicious nature of such lattice ...- 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