Generating Interest Rate Stress Scenarios
This article describes the use of the Heath-Jarrow-Morton framework to generate stress scenarios for the term structure of the interest rate. By means of principal component analysis it is possible to reduce the dimensions of the problem and create a bridge between the information a specialist posse...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2011-09-01
|
| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2818 |
| id |
doaj-f0cc4853574d4b5f91b54c21f860b4ef |
|---|---|
| record_format |
Article |
| spelling |
doaj-f0cc4853574d4b5f91b54c21f860b4ef2020-11-25T01:07:21ZengBrazilian Society of FinanceRevista Brasileira de Finanças1679-07311984-51462011-09-0193413436Generating Interest Rate Stress ScenariosMariela FernándezAlan De Genaro DarioThis article describes the use of the Heath-Jarrow-Morton framework to generate stress scenarios for the term structure of the interest rate. By means of principal component analysis it is possible to reduce the dimensions of the problem and create a bridge between the information a specialist possesses for defining scenarios, such information generally being of low dimensions, and the robustness of the HJM model. The methodology is applied to Brazilian Market data during the market meltdown in 2008 and from other occasions.http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2818Heath-Jarrow-MortonTerm Structure of the Interest RateStress TestEvent Risk |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Mariela Fernández Alan De Genaro Dario |
| spellingShingle |
Mariela Fernández Alan De Genaro Dario Generating Interest Rate Stress Scenarios Revista Brasileira de Finanças Heath-Jarrow-Morton Term Structure of the Interest Rate Stress Test Event Risk |
| author_facet |
Mariela Fernández Alan De Genaro Dario |
| author_sort |
Mariela Fernández |
| title |
Generating Interest Rate Stress Scenarios |
| title_short |
Generating Interest Rate Stress Scenarios |
| title_full |
Generating Interest Rate Stress Scenarios |
| title_fullStr |
Generating Interest Rate Stress Scenarios |
| title_full_unstemmed |
Generating Interest Rate Stress Scenarios |
| title_sort |
generating interest rate stress scenarios |
| publisher |
Brazilian Society of Finance |
| series |
Revista Brasileira de Finanças |
| issn |
1679-0731 1984-5146 |
| publishDate |
2011-09-01 |
| description |
This article describes the use of the Heath-Jarrow-Morton framework to generate stress scenarios for the term structure of the interest rate. By means of principal component analysis it is possible to reduce the dimensions of the problem and create a bridge between the information a specialist possesses for defining scenarios, such information generally being of low dimensions, and the robustness of the HJM model. The methodology is applied to Brazilian Market data during the market meltdown in 2008 and from other occasions. |
| topic |
Heath-Jarrow-Morton Term Structure of the Interest Rate Stress Test Event Risk |
| url |
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/2818 |
| work_keys_str_mv |
AT marielafernandez generatinginterestratestressscenarios AT alandegenarodario generatinginterestratestressscenarios |
| _version_ |
1725187613307961344 |