Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates
Chaoyi Zhao, Zijian Jia, Lan Wu
| Year of publication: |
2024
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|---|---|
| Authors: | Zhao, Chaoyi ; Jia, Zijian ; Wu, Lan |
| Published in: |
Insurance : mathematics and economics. - Amsterdam : North Holland Publ. Co., ISSN 0167-6687, ZDB-ID 2010248-3. - Vol. 114.2024, p. 156-175
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| Subject: | Chinese government bond | Endogenous and positive | EURIBOR swap | Risk-free interest rate curve | Smith-Wilson method | Solvency II | Ultimate forward rate (UFR) | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Theorie | Theory | Öffentliche Anleihe | Public bond | Swap | Staatspapier | Government securities |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2023.11.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015049388