SLV v RS-DMRP December 2000 5th 95th Percentiles

Posted on September 1, 2012 by

We show a comparison of the SLV v RS-DMRP December 2000 5th 95th Percentiles.  Click on graph to see enlarged clearer version where writing is distinct.

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Comparison of SLV to RS-DMRP for December 2000 Start Date US Treasury 5th 95th percentile

Comparison of SLV to RS-DMRP for December 2000 Start Date US Treasury 5th 95th percentile

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Comparison of SLV to RS-DMRP for December 2000 Start Date US Treasury 5th 95th percentile

One notes the SLV model as calibrated does not deal well with the zero interest rate bound monetary policy, i.e. keeping the short term rate close to zero.

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Author of Pre-Algebra New Math Done Right Peano Axioms. A below college level self study book on the Peano Axioms and proofs of the associative and commutative laws of addition. President of Mathematical Finance Company. Provides economic scenario generators to financial institutions.
This entry was posted in Academy of Actuaries SLV Model, Ben Bernanke, Mark Tenney Interest Rate Model, Regime Switching DMRP, RS-DMRP, Stochastic Log Volatility Model, Zero Rate Policy. Bookmark the permalink.

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