The Nelson–Siegel model is widely used in practice for fitting the term structure of interest
rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a …

PHILIPPE PRIAULET is a derivatives strategist at HSBC-CCF in Paris and associate
professor of mathematics at the University of Evry Val d'Essonne in Evry, France. philippe …

This new edition is a greatly extended and updated version of my earlier monograph"
Pricing Credit Linked Financial Instruments"(Schmid 2002). Whereas the first edition …

We investigate here the sensitivity of the equity values of a large sample of German financial
institutions to movements in the term structure of interest rates. While similar approaches rely …

In this paper, we evaluate the relative immunization performance of the M-vector proposed
by Nawalkha and Chambers (1997)[Nawalkha, SK, Chambers, DR, 1997. The M-vector …

Based on previous research addressing the use of principal component analysis (PCA) in
modeling the dynamics of sovereign yield curves, in this paper, we investigate certain …

The interest rate sensitivity of stock returns of financial and non‐financial corporations is a
well‐known phenomenon. However, only little is known about the part of total stock returns …

This paper generalizes the M-square and M-vector models [Fong and Fabozzi, Appendix E:
Derivation of Risk Immunization Measures, in: Fixed Income Portfolio Management, Dow …

Five methods of estimating the term structure from on-the-run Treasuries are compared with
respect to error in spot rate estimation, forward rate estimation, and coupon bond pricing …

Accurately fitting the term structure of interest rates is critical to central banks and other
market participants. The Nelson-Siegel and Nelson-Siegel-Svensson models are probably …