Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective

SSRN Electronic Journal ◽

10.2139/ssrn.1082511 ◽

2006 ◽

Author(s):

David Jamieson Bolder

Keyword(s):

Risk Management ◽

Term Structure ◽

Structure Dynamics

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Measuring Financial Cash Flow and Term Structure Dynamics

SSRN Electronic Journal ◽

10.2139/ssrn.293257 ◽

2001 ◽

Author(s):

Cornelis A. Los

Keyword(s):

Term Structure ◽

Cash Flow ◽

Structure Dynamics

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Term structure dynamics in a monetary economy with learning

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2018.08.005 ◽

2019 ◽

Vol 48 ◽

pp. 730-745

Author(s):

Sadayuki Ono

Keyword(s):

Term Structure ◽

Structure Dynamics ◽

Monetary Economy

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Purebred or hybrid?: Reproducing the volatility in term structure dynamics

Journal of Econometrics ◽

10.1016/s0304-4076(03)00106-4 ◽

2003 ◽

Vol 116 (1-2) ◽

pp. 147-180 ◽

Author(s):

Dong-Hyun Ahn ◽

Robert F. Dittmar ◽

A.Ronald Gallant ◽

Bin Gao

Keyword(s):

Term Structure ◽

Structure Dynamics

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On Stochastic Parabolic Model for Term Structure Dynamics and Mean-variance Efficient Portfolio

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications ◽

10.5687/sss.2002.194 ◽

2002 ◽

Vol 2002 (0) ◽

pp. 194-198

Author(s):

ShinIchi AIHARA ◽

Arunabha BAGCHI

Keyword(s):

Term Structure ◽

Parabolic Model ◽

Structure Dynamics ◽

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A Joint Econometric Model of Macroeconomic and Term Structure Dynamics

SSRN Electronic Journal ◽

10.2139/ssrn.424920 ◽

2003 ◽

Author(s):

Peter Hördahl ◽

Oreste Tristani ◽

David Vestin

Keyword(s):

Term Structure ◽

Econometric Model ◽

Structure Dynamics

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Term Structure Dynamics in a Monetary Economy with Learning

SSRN Electronic Journal ◽

10.2139/ssrn.727783 ◽

2005 ◽

Author(s):

Sadayuki Ono

Keyword(s):

Term Structure ◽

Structure Dynamics ◽

Monetary Economy

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Stochastic modeling of the term structure dynamics for the purpose of long-term government debt management: The theoretical framework

Introduction of a New Conceptual Framework for Government Debt Management ◽

10.1007/978-3-658-00918-2_5 ◽

2013 ◽

pp. 113-151

Author(s):

Anja Hubig

Keyword(s):

Term Structure ◽

Stochastic Modeling ◽

Government Debt ◽

Theoretical Framework ◽

Debt Management ◽

Structure Dynamics

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093078 (E51) Interest rate risk management: Developments in interest rate term structure modelling for risk management and valuation of interest-rate-dependent cash flows

Insurance Mathematics and Economics ◽

10.1016/s0167-6687(97)89233-5 ◽

1997 ◽

Vol 20 (3) ◽

pp. 275 ◽

Keyword(s):

Risk Management ◽

Interest Rate ◽

Term Structure ◽

Interest Rate Risk ◽

Rate Dependent ◽

Rate Risk ◽

Interest Rate Risk Management ◽

Interest Rate Term Structure

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A parametric study of the term structure dynamics

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2007.10.074 ◽

2008 ◽

Vol 387 (5-6) ◽

pp. 1264-1272 ◽

Author(s):

Massimo Bernaschi ◽

Elisa Tacconi ◽

Davide Vergni

Keyword(s):

Term Structure ◽

Parametric Study ◽

Structure Dynamics

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A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk

The Journal of Finance ◽

10.1111/j.1540-6261.1997.tb02748.x ◽

1997 ◽

Vol 52 (5) ◽

pp. 1973-2002 ◽

Author(s):

RICHARD STANTON

Keyword(s):

Interest Rate ◽

Term Structure ◽

Market Price ◽

Interest Rate Risk ◽

Nonparametric Model ◽

Structure Dynamics ◽

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