Analysing Quantiles in Models of Forward Term Rates
The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a diagnostic tool for analysing the quantiles of dist...
Main Authors: | Thomas A. McWalter, Erik Schlögl, Jacques van Appel |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2023-01-01
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Series: | Risks |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-9091/11/2/29 |
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