Interest Rate Model Selection and Implementation for the Credit Risk Engines

dc.contributor.author	Kondratyev, Alexei
dc.date.accessioned	2014-10-08T09:53:31Z
dc.date.available	2014-10-08T09:53:31Z
dc.date.issued	2014
dc.identifier.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.	uk_UA
dc.identifier.uri	http://enpuir.npu.edu.ua/handle/123456789/5755
dc.description.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.	uk_UA
dc.language.iso	en	uk_UA
dc.publisher	Вид-во НПУ імені М. П. Драгоманова	uk_UA
dc.title	Interest Rate Model Selection and Implementation for the Credit Risk Engines	uk_UA
dc.type	Article	uk_UA