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Interest Rate Scenarios
Interest Rate Scenarios This paper describes several methods of creating interest rate scenarios that the actuary can use for pricing analysis or asset-liability testing. Discussions of the paper ...- 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