The Reform of Money Market Benchmarks Worldwide: Construction of a Forward Rate Model for the Moroccan Interbank Market

We implement a modified version of DebtRank to recursively measure the contagion effects caused by the default of a selected financial institution. In our case contagion is a liquidity issue, measured as the decrease in financial institutions’ short-term liquidity position across the Colombian interbank network. We find that contagion negative effects are concentrated in a few financial institutions. However, as most of their impact is conditional on the occurrence of unlikely major widespread illiquidity events, and due to the subsidiary contribution of the interbank market to the local money market, their overall systemic importance is still to be confirmed.

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A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL

International Journal of Theoretical and Applied Finance ◽

10.1142/s0219024903001852 ◽

2003 ◽

Vol 06 (04) ◽

pp. 317-326 ◽

Cited By ~ 19

Author(s):

ROBERT J. ELLIOTT ◽

ROGEMAR S. MAMON

Keyword(s):

Interest Rate ◽

Term Structure ◽

Yield Curve ◽

Forward Rate ◽

Rate Model ◽

Bond Price ◽

Forward Measure ◽

Expectation Hypothesis ◽

Complete Set ◽

Interest Rate Model

This paper aims to present a complete term structure characterisation of a Markov interest rate model. To attain this objective, we first give a proof that establishes the Unbiased Expectation Hypothesis (UEH) via the forward measure. The UEH result is then employed, which considerably facilitates the calculation of an explicit analytic expression for the forward rate f(t, T). The specification of the bond price P(t, T), yield rate Y(t, T) and f(t, T) gives a complete set of yield curve descriptions for an interest rate market where the short rate r is a function of a continuous time Markov chain.

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IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA

International Journal of Theoretical and Applied Finance ◽

10.1142/s0219024910005760 ◽

2010 ◽

Vol 13 (02) ◽

pp. 259-283 ◽

Cited By ~ 4

Author(s):

SHIN ICHI AIHARA ◽

ARUNABHA BAGCHI

Keyword(s):

Maximum Likelihood ◽

Rate Equation ◽

Maximum Likelihood Method ◽

Yield Curve ◽

Likelihood Method ◽

Forward Rate ◽

Rate Model ◽

Bond Price ◽

System Parameters ◽

Term Structures

We consider a slight perturbation of the Hull-White short rate model and the resulting modified forward rate equation. We identify the model coefficients by using the martingale property of the normalized bond price. The forward rate and the system parameters are then estimated by using the maximum likelihood method.

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