Already have an account? Get multiple benefits of using own account!
Login in your account..!
Remember me
Don't have an account? Create your account in less than a minutes,
Forgot password? how can I recover my password now!
Enter right registered email to receive password!
Question 1
Writing out the 3-factor (3F) generalisation of the 1F Vasicek model (i.e. write out the autonomous Ornstein-Uhlenbeck SDE's), write a brief 1-page Technical Note which describes
1. how the 3F generalisation improves upon the 1F Vasicek model, and
2. how the first two latent factors can be shown to be consistent with the 'level' and 'slope' or 'twist' effects which result from a Principal Compo- nents analysis (PCA) of movements in the yield curve of spot rates over historical time.
Hint Part 2.
First explain why the 'long yield' (30Y spot rate, for example) is a good proxy for the 'prevailing level' of the yield curve over time, and hence a good proxy for the 'level' factor in PCA,
Second explain why in referring to the 'slope' or 'twist' effect, PCA factor sensitivity outputs typically show that most of the empirically observed 'twist effect' occurs at the short end of the yield curve (why is this ?)
Verified Expert
Descriptive statistics was normally used to assess the distribution of the variables taken into consideration. if the variables are continuous, then mean, median and other descriptive measures were used to identify the distribution. on the other hand, if the variable is qualitative, then, frequency distribution was used to assess the distribution for the same.
Corporate bonds issued by Johnson Corporation currently yield 11%. Municipal bonds of equal risk currently yield 6.5%. At what tax rate would an investor be indifferent betw
Discuss the tendency of ratios to fluctuate over time, explain how accounting practices, seasonality, economy, competitors as well as other factors can influence them, and h
Evaluate the liquidity position of Jackson relative to that of the average firm in the industry. Consider the current ratio, the quick ratio, and the net working capital (curr
You will summarize the basic cost accounting practices for job shops, material processors, and advanced manufacturing organizations using managerial accounting terminology.
In your introduction, briefly describe the plot of a disaster movie in which an electromagnetic pulse causes the shutdown of all electronic equipment and financial activity
The primary financial goal of a for-profit corporation is to make a profit to maximize shareholder wealth. Choosing any publicly traded company, please give a brief descriptio
The spectrometer would have no effect on revenues, but it is expected to save the firm $25,000 per year in before tax operating cost, mainly labor. The firm's marginal federal
1.A 30-year, $1,000 par value bond has a 9.5% annual payment coupon. The bond currently sells for $875. If the yield to maturity remains at its current rate, what will the p
Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!
whatsapp: +1-415-670-9521
Phone: +1-415-670-9521
Email: info@expertsmind.com
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd