Publicação
How do current term structure model behave beyond the last liquid point?: A comparison of the DNS and Smith-Wilson methods
| dc.contributor.advisor | Pereira, João Pedro | |
| dc.contributor.advisor | Schotman, Peter | |
| dc.contributor.author | Batista, Catarina Moreira | |
| dc.date.accessioned | 2015-08-26T13:46:11Z | |
| dc.date.available | 2015-08-26T13:46:11Z | |
| dc.date.issued | 2015-01 | |
| dc.description | A Work Project, presented as part of the requirements for the Award of a Master’s Double Degree in Finance from Maastricht University and NOVA – School of Business and Economics | por |
| dc.description.abstract | This paper compares the popular Dynamic Nelson-Siegel (DNS) model with the Smith-Wilson (SW) method for the extrapolation of yield curves within the scope of the new regulation for pension funds and insurance companies, Solvency II. I have focused particularly on the behavior of the models after the last liquid point (LLP) of observable data. My main research shows that a longer LLP is beneficial at extrapolating the yield curve as well as using a onvergence period that relies on the available data. I also found that the DNS model is more market consistent whereas the SW method performs better fitting the available data and disregards the information they provide at the long-end of the curve. | por |
| dc.description.sponsorship | UNL - NSBE | por |
| dc.identifier.tid | 201473445 | |
| dc.identifier.uri | http://hdl.handle.net/10362/15393 | |
| dc.language.iso | eng | por |
| dc.title | How do current term structure model behave beyond the last liquid point?: A comparison of the DNS and Smith-Wilson methods | por |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | masterThesis | por |
| thesis.degree.discipline | Finance | por |
| thesis.degree.level | Masters | por |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | por |