Interest rate term structure dynamics using PCA and GARCH models with application to the Philippine government curve

The Basle II Accord motivates a study of permissible internal models which can potentially decrease risk capital requirements. A PCA-GARCH interest rate risk model is considered. PCA is introduced to reduce dimensionality in the Philippine Government Curve. Volatility dynamics are modeled using diff...

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Bibliographic Details
Main Author: Pasamonte, Joseph Norman D.
Format: text
Published: Animo Repository 2005
Subjects:
Online Access:https://animorepository.dlsu.edu.ph/etd_doctoral/100
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Institution: De La Salle University