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1.
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Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dim[...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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The government’s objective in managing its domestic debt portfolio is to raise stable, low-cost funding for its operational needs. The Bank of Canada provides analysis an[...]
2011 | Text | Staff Discussion Paper - Document d’analyse du personnel |
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3.
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Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-manage[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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The Department of Finance and the Bank of Canada, as its fiscal agent, work closely with financial market participants in the management of the federal government's debt [...]
1998 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and econom[...]
2004 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy. To this end, we consider six alt[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a s[...]
2002 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates. Model selection f[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful informa[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods.[...]
2003 | Text | Staff Working Paper - Document de travail du personnel |
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