The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this ...
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, ...
Following the global financial crisis of 2007–9, the regulators established a stress testing framework known as Comprehensive Capital Analysis and Review (CCAR). The regulatory stress scenarios in ...
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