We demonstrate that characterizing the minimal dimension of the term structure of interest
rates is more challenging than currently appreciated. The highly structured polynomial …

The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income
Valuation and Risk Analysis comprehensively covers the most definitive work on interest …

We consider the practice-relevant problem of modelling multiple price curves to support
activities such as price curve simulation and risk management. In this multi-curve setting, the …

This paper analyzes the common factor structure of US, German, and Japanese Government
bond returns. Unlike previous studies, we formally take into account the presence of country …

The first three factors resulting from a principal components analysis of term structure data
are, in the literature, typically interpreted as driving the level, slope and curvature of the term …

Abstract Principal Component Analysis (PCA) is the most common nonparametric method
for estimating the volatility structure of Gaussian interest rate models. One major difficulty in …

We propose a multivariate nonparametric technique for generating reliable short-term
historical yield curve scenarios and confidence intervals. The approach is based on a …

The daily term structure of interest rates is filtered to reduce the influence of cross-
correlations and autocorrelations on its factors. A three-factor model is fitted to the filtered …

本文应用主成分分析方法研究国债收益率曲线变动模式的影响因素, 发现水平因素,
倾斜因素和曲率因素可以分别解释收益率曲线变化的41.67%, 32.29% 和16.88 …

This paper analyses the US volatility term structure and identified the common factors. This
research also examines different estimates depending on the selected dataset with a …