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Representative Interest Rate Scenarios
Foundat ion for many models 143 ! ! h a t'P u 1[ • Cashflow testing for • New York Regulation ... choose I0 representative ones ! r ~1 / so ,~ ,, /s ~o i ~ i ~..0,1~,,,...i~..30 il ..............- Authors: Sarah Christiansen
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Estimation methods
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Representative Interest Rate Scenarios
~r._12 1997 i " 12 99s i 13 • 12 1999 8 i 12 2000 . 12 2001 3 12 2002 0 5 10 15 20 25 30 • 12 ... create the initial curve. Table 1 shows the results for all 1000 scenarios and table 2 gives the results for ...- Authors: Sarah Christiansen
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Estimation methods