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La calibration du modèle nelson-siegle-svensson by Elouizi-A

La calibration du modèle nelson-siegle-svensson

by Elouizi-A
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₹4,182.00
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Book cover type: Paperback
  • ISBN13: 9783841743336
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Omniscriptum
  • Publisher Imprint: Omniscriptum
  • Publication Date:
  • Pages: 64
  • Original Price: USD 42.0
  • Language: French
  • Edition: N/A
  • Item Weight: 105 grams
  • BISAC Subject(s): Banks & Banking

Ce travail consiste essentiellement en une étude du modèle paramétrique Nelson-Siegle-Svensson (NSS) pour la construction et la prévision de la courbe des taux de rendement. Nous avons tout d'abord déterminé les paramètres de ce modèle à l'aide des méthodes d'optimisation, et ceci en minimisant, par la méthode des moindres carrés, l'écart entre la courbe zéro-coupon et la courbe NSS. Ensuite, nous avons procédé à une modélisation de l'historique des paramètres NSS afin d'expliquer la dynamique de la courbe des taux en utilisant l'analyse en composantes principales. Et enfin, nous avons adopté l'approche des séries chronologiques en vue d'anticiper les paramètres du modèle NSS, et ceci en nous basant sur les processus VARMA (Vector Autorégressif Moyenne Mobile).

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