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

• Main Author: Pasamonte, Joseph Norman D.
• Format: text
• Published: Animo Repository 2005
• Subjects: Interest rates > Mathematical models
• Online Access: https://animorepository.dlsu.edu.ph/etd_doctoral/100
• Institution: De La Salle University

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...