Category Archives: Zero Rate Policy

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

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. == == Comparison of SLV to RS-DMRP for December 2000 Start Date US Treasury … Continue reading

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 | Leave a comment

RSESG Comparison Graph 2000 1 year yield

The following is the full picture that the header is a partial picture from.  Click on graph to see enlarged clearer version where writing is distinct. RSDMRP v DMRP 5th 95th Percentile Pair Dec 2000 Start 1 year yield US … Continue reading

Posted in Beaglehole Tenney, Beaglehole Tenney Double Decay Model, Ben Bernanke, DMRP, Federal Reserve Board, Mark Tenney Interest Rate Model, Quantitative Easing, Regime Switching DMRP, Solvency II, Two Factor Black Karasinski, Two Factor Vasicek, Uncategorized, Zero Rate Policy | Leave a comment