Tagged Questions
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48 views
Modelling the magnitude of negative interest rates as depending on the deposited volume
The discounting curves are generally inferred from zero coupon bonds, especially for short rates, where such zero coupon bonds exist. Given the recent governmental negative interest rate bonds, this ...
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36 views
The observed negative interest rates should be modelled as the observed positive ones?
The presently observed negative interest rates for the recently emitted negative interest bonds by France, etc seem to increase in magnitude with the term. This might suggest that their modelling is ...
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64 views
Split in two the observed negative interest rates (theoretically always positive/negative)?
An autoregressive model to get the future evolution a non-jumpy evolution of the interest rates seems a good option , but not taking into account the possible future variations in credit rate states ...
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43 views
Bibliography and historical data relevant to negative interest rates modelling
For a project, I am interested to model the impact of recently negative interest bonds on the portfolio.
From this point of view, the literature I have found is limited.
I am asking for some ...
