Interest Rate Model Selection and Implementation for the Credit Risk Engines

Alexei Kondratyev


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.

Повний текст:

PDF (English)


L. B. G. Andersen and V. V. Piterbarg, Interest Rate Modeling, Volume2, Atlantic Financial Press, 2010

M. Avellaneda and P. Laurence, Quantitative Modelling of Derivative Securities:From Theory to Practice, Chapman & Hall/CRC, 2000

A. Brace, D. Gatarek and M. Musiela, The Market Model of Interest RateDynamics, Mathematical Finance, 7, 2, (1997) 127-55

D. Brigo and F. Mercurio, Interest Rate Models - Theory and Practice, 2nd edition, Springer-Verlag, 2006

J. C. Cox, J. E. Ingersoll and S. A. Ross, A Theory of the Term Struture of Interest Rates, Econometrica, 53, (1985) 385-407

W. Feller, Two Singular Diffusion Problems, Annals of Mathematics, 54, (1951) 173-82

D. Heath, R.A. Jarrow and A. Morton, Bond Pricing and the Term Structure of Interest Rates: A New Methodology, Econometrica, 60, 1, (1992) 77-105

T. S. Y. Ho and S.-B. Lee, Term Structure Movements and Pricing Interest Rate Contingent Claims, Journal of Finance, 41, (1986) 1011-29

J. C. Hull, Options, Futures, and Other Derivatives, 6th edition, Prentice Hall, 2006

F. Jamshidian, LIBOR and Swap Market Models and Measures, Finance and Stochastics, 1, (1997) 293-330

A. Kondratyev, Na¨ıve Monte Carlo, The Capco Journal of Financial Transformation, 37, (2013) 111-116

K. Miltersen, K. Sandmann and D. Sondermann, Closed Form Solutions for Term Structure Derivatives with LogNormal Interest Rates, Journal of Finance, 52, 1, (1997) 409-30

R. Rebonato, Interest-Rate Option Models, 2nd edition, John Wiley & Sons, 1998

R. Seydel, Tools for Computational Finance, 2nd edition, Springer-Verlag, 2003

R. S. Tsay, Analysis of Financial Time Series, 2nd edition, John Wiley & Sons, 2005

Пристатейна бібліографія ГОСТ


  • Поки немає зовнішніх посилань.