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Why use Heath Jarrow Morton interest rate models? Because (1) 1 factor isn't enough to explain yield movements, (2) interest rate volatility isn't constant, (3) rates can be negative (4) all models (jumps too) are special cases of HJM so it's powerful & fast #ALM #interestrates
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Statistical significance and volatility type by maturity of forward rate for 10 factors driving Heath, Jarrow & Morton model, #Singapore government bonds, daily, 1998-2020 #ALM #ICAAP #interestrates #Singapore #MAS #interestrates
Number of statistically significant variables driving the yield curve, Heath Jarrow & Morton model, 10 factors, Singapore government bonds, daily, 1998-2020, with stochastic volatility #ALM #ICAAP #FRTB #FTP #IRRBB #Singapore #MAS #interestrates
Why use Heath Jarrow Morton interest rate models? Because (1) 1 factor isn't enough to explain yield movements, (2) interest rate volatility isn't constant, (3) rates can be negative (4) all models (jumps too) are special cases of HJM so it's powerful & fast #ALM #interestrates
Why use Heath Jarrow Morton interest rate models? Because (1) 1 factor isn't enough to explain yield movements, (2) interest rate volatility isn't constant, (3) rates can be negative (4) all models ( jumps too) are special cases of HJM so it's powerful & fast #ALM #risk
Statistical significance and volatility type by maturity of forward rate for 12 factors driving Heath, Jarrow & Morton model, government yields in 13 countries, daily, 1962-2020 #ALM #ICAAP #interestrates #bonds #Treasuries #Gilts #JBGs
Number of statistically significant variables driving the yield curve, Heath Jarrow & Morton model, 12 factors, government yields in 13 countries, daily, 1962-2020, with stochastic volatility #ALM #ICAAP #FRTB #interestrates #IRRBB #bonds #Treasuries #Gilts #JGBs
Why use Heath Jarrow Morton interest rate models? Because (1) 1 factor isn't enough to explain yield movements, (2) interest rate volatility isn't constant, (3) rates can be negative (4) all models ( jumps too) are special cases of HJM so it's powerful & fast #ALM #interestrates
Why use Heath Jarrow Morton interest rate models? Because (1) 1 factor isn't enough to explain yield movements, (2) interest rate volatility isn't constant, (3) rates can be negative & (4) all models (including jumps) are special cases of HJM so it's powerful & fast #IRRBB #ALM
Number of statistically significant variables driving the yield curve, Heath Jarrow & Morton model, 11 factors, #Italy government bond yields, daily, 2015-2020, with stochastic volatility #ALM #ICAAP #interestrates #IRRBB
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Number of statistically significant variables driving the yield curve, Heath Jarrow & Morton model, 15 factors, #Germany Bund yields, daily, 1997-2020, with stochastic volatility #ALM #ICAAP #interestrates #IRRBB
Why use Heath Jarrow Morton interest rate models? Because (1) 1 factor isn't enough to explain yield movements, (2) interest rate volatility isn't constant, (3) rates can be negative & (4) all models are special cases of HJM so it's powerful & fast #IRRBB #ALM #interestrates
Why use Heath Jarrow Morton interest rate models? Because (1) 1 factor isn't enough to explain yield movements, (2) interest rate volatility isn't constant, (3) rates can be negative & (4) all models are special cases of HJM so it's powerful & fast #ALM #FRTB #interestrates
#ALMCLASSICS : This 1992 article from Prof. Robert Jarrow, David Heath & Andrew Morton showed how to construct multi-factor models of the risk-free term structure so that a Monte Carlo simulation will always price the starting yield curve exactl #ICAAP #FTP #FRTB #IRRBB
Number of statistically significant variables driving the yield curve, Heath Jarrow & Morton model, 14 factors, #Australia Commonwealth Government Securities, daily, 1996-2018, with stochastic volatility #ALM #ICAAP #FRTB #FTP #IRRBB
Number of statistically significant variables driving the yield curve, Heath Jarrow & Morton model, 10 factors, U.S. Treasuries, daily, 1962-2018, with stochastic volatility #ALM #ICAAP #FRTB #FTP #IRRBB
"A BIS-Compliant 9 Factor Heath, Jarrow. and Morton Model of Singapore Government Securities Yields" #ALM
$TLT @KamakuraCo has updated its 9 factor Heath, Jarrow and Morton model for the US Treasury curve via Bob Jarrow
Another in a series on Heath Jarrow and Morton multi-factor interest rate models for 9 major government bond markets
@KamakuraCo has just made a "big data" delivery of 25,000 9 factor Heath Jarrow and Morton 30 year simulation to a prestigious insurer.
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