Interest Rates Term Structure under Ambiguity

After financial crisis, the role of uncertainty in decision making processes has largely been recognized as the new variable that contributes to shaping interest rates and bond prices. Our aim is to discuss the impact of ambiguity on bonds interest rates (yields). Starting from the realistic assumpt...
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Autor*in:	Silvia Romagnoli [verfasserIn] Simona Santoro [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2017

Schlagwörter:	ambiguity exponential affine model multi-factor model

Übergeordnetes Werk:	In: Risks - MDPI AG, 2013, 5(2017), 3, p 50
Übergeordnetes Werk:	volume:5 ; year:2017 ; number:3, p 50

Links:	Link aufrufen Link aufrufen Link aufrufen Journal toc

DOI / URN:	10.3390/risks5030050

Katalog-ID:	DOAJ002616912

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language	English
source	In Risks 5(2017), 3, p 50 volume:5 year:2017 number:3, p 50
sourceStr	In Risks 5(2017), 3, p 50 volume:5 year:2017 number:3, p 50
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institution	findex.gbv.de
topic_facet	ambiguity exponential affine model multi-factor model Insurance
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container_title	Risks
authorswithroles_txt_mv	Silvia Romagnoli @@aut@@ Simona Santoro @@aut@@
publishDateDaySort_date	2017-01-01T00:00:00Z
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callnumber-first	H - Social Science
author	Silvia Romagnoli
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topic_title	HG8011-9999 Interest Rates Term Structure under Ambiguity ambiguity exponential affine model multi-factor model
topic	misc HG8011-9999 misc ambiguity misc exponential affine model misc multi-factor model misc Insurance
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title_sort	interest rates term structure under ambiguity
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title_auth	Interest Rates Term Structure under Ambiguity
abstract	After financial crisis, the role of uncertainty in decision making processes has largely been recognized as the new variable that contributes to shaping interest rates and bond prices. Our aim is to discuss the impact of ambiguity on bonds interest rates (yields). Starting from the realistic assumption that investors ask for an ambiguity premium depending on the efficacy of government interventions (if any), we lead to an exponential multi-factor affine model which includes ambiguity as well as an ambiguous version of the Heath-Jarrow-Morton (HJM)model. As an example, we propose the realistic economic framework given by Ulrich (2008, 2011), and we recover the corresponding ambiguous HJM framework, thus offering a large set of interest rate models enriched with ambiguity. We also give a concrete view of how different simulated scenarios of ambiguity can influence the economic cycle (through rates and bond prices).
abstractGer	After financial crisis, the role of uncertainty in decision making processes has largely been recognized as the new variable that contributes to shaping interest rates and bond prices. Our aim is to discuss the impact of ambiguity on bonds interest rates (yields). Starting from the realistic assumption that investors ask for an ambiguity premium depending on the efficacy of government interventions (if any), we lead to an exponential multi-factor affine model which includes ambiguity as well as an ambiguous version of the Heath-Jarrow-Morton (HJM)model. As an example, we propose the realistic economic framework given by Ulrich (2008, 2011), and we recover the corresponding ambiguous HJM framework, thus offering a large set of interest rate models enriched with ambiguity. We also give a concrete view of how different simulated scenarios of ambiguity can influence the economic cycle (through rates and bond prices).
abstract_unstemmed	After financial crisis, the role of uncertainty in decision making processes has largely been recognized as the new variable that contributes to shaping interest rates and bond prices. Our aim is to discuss the impact of ambiguity on bonds interest rates (yields). Starting from the realistic assumption that investors ask for an ambiguity premium depending on the efficacy of government interventions (if any), we lead to an exponential multi-factor affine model which includes ambiguity as well as an ambiguous version of the Heath-Jarrow-Morton (HJM)model. As an example, we propose the realistic economic framework given by Ulrich (2008, 2011), and we recover the corresponding ambiguous HJM framework, thus offering a large set of interest rate models enriched with ambiguity. We also give a concrete view of how different simulated scenarios of ambiguity can influence the economic cycle (through rates and bond prices).
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title_short	Interest Rates Term Structure under Ambiguity
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