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ARTÍCULO
TITULO

Generating Interest Rate Stress Scenarios

Alan De Genaro Dario    
Mariela Fernández    

Resumen

This article describes the use of the Heath-Jarrow-Morton framework to generate stress scenarios for the term structure of the interest rate. By means of principal component analysis it is possible to reduce the dimensions of the problem and create a bridge between the information a specialist possesses for defining scenarios, such information generally being of low dimensions, and the robustness of the HJM model. The methodology is applied to Brazilian Market data during the market meltdown in 2008 and from other occasions.

PÁGINAS
pp. 413 - 436
MATERIAS
ECONOMÍA

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