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Negative interest rates: how the existent financial models can fit with this new scenario? a focus on vasicek and CIR
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Orientador(es)
Resumo(s)
My project work has the purpose to question on the use of financial models with this new
scenario of negative interest rates. Precisely, the two models I am going to study are the Vasicek
and CIR.
First of all, the research will be focused on the analysis of them looking at both their limitations
and strengths, and trying to make some needed and essential modifications for this shift in
macroeconomic scenario.
The entire work has the objective of understanding which are the economic agents affected and
which are the future perspectives in this economic situation.
Descrição
Palavras-chave
Negative interest rates Vasicek and CIR models Hull and White New macroeconomic policies