DSpace at library NPU Dragomanova » Міждисциплінарні дослідження складних систем » Номер 4 »

Please use this identifier to cite or link to this item: http://enpuir.npu.edu.ua/handle/123456789/5755
Title: Interest Rate Model Selection and Implementation for the Credit Risk Engines
Authors: Kondratyev, Alexei
Issue Date: 2014
Publisher: Вид-во НПУ імені М. П. Драгоманова
Citation: Kondratyev, А. Interest Rate Model Selection and Implementation for the Credit Risk Engines / A. Kondratyev// Міждисциплінарні дослідження складних систем : зб. наук. праць. - Київ : Вид-во НПУ імені М. П. Драгоманова, 2014. - № 4. - С. 5-30.
Abstract: This paper discusses the interest rate model selection and implementation process for the Monte Carlo credit risk engines. Special attention is paid to the real world model calibration and simulation problems, including development of the robust calibration algorithms for the illiquid interest rate curves and handling of the negative interest rates implied by the forward FX rates for many EM currency pairs.
URI: http://enpuir.npu.edu.ua/handle/123456789/5755
Appears in Collections:Номер 4

Files in This Item:
File Description SizeFormat 
Kondratyev.pdf186.96 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.