- Joined
- 10/20/13
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Hello
I would like to have some guide in the literature of ALM modelling. Currently I have used a one factor CIR to model interest rate for Economic Capital. For what I understand, in order to upgrade this model such that we can possible have a tilt movement for the IR a two factor model like the CIR2++ or G2++ model should be used. The actual model is calibrated using historical data since we are interested in long term estimation not pricing.
Another related topic I´m interested in, is the literature on the difference between equilibrium models and no arbitrage models and risk and real world probability and the different applications for trading and banking. I have only found a transcription of an interview of McNatt where they cite the paper "The four faces of interest rate models" but have not found this one for free.
Thank you
I would like to have some guide in the literature of ALM modelling. Currently I have used a one factor CIR to model interest rate for Economic Capital. For what I understand, in order to upgrade this model such that we can possible have a tilt movement for the IR a two factor model like the CIR2++ or G2++ model should be used. The actual model is calibrated using historical data since we are interested in long term estimation not pricing.
Another related topic I´m interested in, is the literature on the difference between equilibrium models and no arbitrage models and risk and real world probability and the different applications for trading and banking. I have only found a transcription of an interview of McNatt where they cite the paper "The four faces of interest rate models" but have not found this one for free.
Thank you
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