Interest Rate Model Selection and Implementation for the Credit Risk Engines

Alexei Kondratyev

Анотація


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.

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