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Parametric Sovereign Interest Rate Curves - April 2015
Apr 15, 2015
We introduce new sovereign curves for BarraOne constructed using a robust parametric fitting methodology. Compared with the legacy curves in BarraOne these new curves feature:
- A more parsimonious model with fewer fitted parameters
- A short end built from bill and repo rates, where available.
- Changes to the vendor of the underlying bond index data in select markets.
- An improved methodology for avoiding model-driven curve jumps from changes in the estimation universe.
- A fitting approach consistent with the parametric corporate spread curves used in RiskManager.
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Research authors
- Andrew DeMond, Managing Director, MSCI Research
- Jason Kremer