Dans le cadre du Séminaire de Recherche en Finance, le Professeur Adlai Fisher, University of British Columbia, donnera une conférence intitulée:
Dimension-Invariant Dynamic Term Structures”
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
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