Can I read Statistical Model for SOFR Term Structure on EtoBox?
Statistical Model for SOFR Term Structure by chinamaker is a document available to read on EtoBox.
What is Statistical Model for SOFR Term Structure about?
This paper develops a statistical model for the SOFR term structure, addressing the challenges posed by the illiquid and incomplete SOFR derivatives market. The model incorporates macroeconomic factors influencing central bank policy rates and is designed for easy calibration and large-scale simulations, making it suitable for risk management and derivatives pricing. The authors illustrate the model
- Author
- chinamaker
- Language
- EN