Implied Probability of Bail-In

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 […]


Forecasting the Yield Curve with S-Plus

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 […]


A VaR-based Model for the Yield Curve

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 […]

Wilmott Inner Circle

Fast Estimation of American Bond Option Prices: Wilmott Magazine Article – Snorre Lindset, Arne-Christian Lund

You’ve just tried to access content that is only available to WILMOTT INNER CIRCLE members! Membership of WIC is a simple, free, upgrade to ordinary membership of All we need is a bit more personal […]