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

• المؤلف الرئيسي: Pasamonte, Joseph Norman D.
• التنسيق: text
• منشور في: Animo Repository 2005
• الموضوعات: Interest rates > Mathematical models
• الوصول للمادة أونلاين: https://animorepository.dlsu.edu.ph/etd_doctoral/100

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...