1.
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 |
2.
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 |
3.
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 |
4.
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 |
5.
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 |
6.
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 |
7.
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 |
8.
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 |
9.
An effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulati[...]
2002 | Text | Staff Working Paper - Document de travail du personnel |
10.
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 |