All Questions

Filter by
Sorted by
Tagged with
2
votes
0answers
218 views
+50

understanding carry for Fixed Income Securities in Pedersen

I'm following the famous paper Carry of Pedersen et al. I have a particular question about the section Global Fixed Income Carry. My main questions are around equation 15. They define Carry as $$C_t:=\...
0
votes
0answers
49 views
+50

How to apply Kalman Filter to GDP data?

Once reverted the Merton/Vasicek formula I could compute the $PD^{PIT}$ for IFRS9 as $PD^{PIT}_i(z) = \Phi \left( \phi^{-1}(PD^{TTC}_i) \sqrt{1-\rho_i} + \sqrt{\rho_i}z\right)$ The main issue is to ...