CoCo (Contingent Convertible) or AT1 (Additional Tier 1) Bonds have been receiving some attention recently due to a confluence of factors. In no particular order these include the fact that $40bn worth of contracts are […]
Methods capable of forecasting the entire yield curve based on a time series extension of the Nelson-Siegel model Nelson and Siegel (1987) were suggested in the literature and compared to the non-parametric alternatives Diebold and […]
An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potential losses incurred from holding an underlying risky security until maturity. This […]
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