Specification analysis of affine term structure models

Article Abstract:

An assessment is presented on the use of affine term structure models (ATSMs) to explain historical interest rate behavior and bond yields. The author argues that a trade-off exists between risk factor volatilities and conditional correlations modeling flexibility; three-factor ATSM specializing is also discussed.

Statistical Data Included, Evaluation, Economic aspects, Interest rates, Mathematical models, Bonds, Bonds (Securities)

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An Econometric Model of the Term Structure of Interest-Rate Swap Yields

Article Abstract:

A term structure model for fixed-for-floating interest-rate swaps are presented. Topics include comparisons with other models, valuation of swaps, defaultable sway yields, an econometric model of swap yields, and zero-coupon bond yields.

United States, Research, Finance, Arbitrage, Swaps (Finance)

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Modeling sovereign yield spreads: a case study of Russian debt

Article Abstract:

An examination of Russian debt through the development of a sovereign debt pricing model is provided.

Russia, Models, Sovereign debt market

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