GFRI - 'Dimension-Invariant Dynamic Term Structures'

Dans le cadre du Séminaire de Recherche en Finance, le Professeur Adlai Fisher, University of British Columbia, donnera une conférence intitulée:
Extrait:
We develop a class of dynamic term structure models that accommodates arbitrarily many interest-rate factors with very few parameters. The model builds on a short-rate cascade, a parsimonious recursive structure that naturally ranks the latent state variables by their rates of mean reversion, each revolving around the next lowest-frequency factor. With appropriate assumptions on volatilities and risk premia, the model overcomes the curse of dimensionality associated with general affine models. Using a panel of 15 LIBOR and swap rates, we estimate models using from one to 15 factors and only five parameters. The in-sample fit of high-dimensional specifications is near exact, with absolute pricing errors averaging less than one basis point, permitting yield-curve stripping in an arbitrage-free, dynamically consistent environment. Cross-maturity correlations accurately reflect empirical evidence, and out-of-sample interest rate forecasts significantly improve on prior benchmarks.

Organisation et renseignements:
michael.steinhauser@unige.ch

GFRI - Geneva Finance Research Institute UNIMAIL Bd du Pont d'Arve 40 1211 Genève 4 Tel: +41 (0)22 379 94 13 Fax: +41 (0)22 379 94 43 www.gfri.ch