A multi-factor model for the valuation and risk management of ...
A multi-factor model for the valuation and risk management of ...
A multi-factor model for the valuation and risk management of ...
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Table 14: Estimated parameters <strong>for</strong> <strong>the</strong> joint yield curve deposit rate <strong>model</strong> with 2<br />
term structure <strong>factor</strong>s (1994:Q2-2005:Q2)<br />
Factor<br />
1 2 4<br />
i;i 0.1821 0.4751 111.1279<br />
(0.3022) (0.1078) (9.5656)<br />
4;i 75.0106 100.3997 111.1279<br />
(5.5887) (7.9837) (9.5657)<br />
i 0.0254 0<br />
(0.0166)<br />
2 i 0.000255 0.000215<br />
(0.000033) (0.000042)<br />
i -0.3980 -29.3147 0<br />
(22.2628) (24.9554)<br />
i;i -0.1500 -0.0008<br />
(0.3118) (0.0876)<br />
R 1m 0.2550 R 2yr 6.5426<br />
R 2m 0.0100 R 3yr 2.7966<br />
R 3m 0.1096 R 4yr 0.9453<br />
R 6m 1.4145 R 5yr 0.0761<br />
R 1yr 6.0385 R 10yr 4.9220<br />
R bank1 1.1042 R bank5 8.8213<br />
R bank2 0.6611 R bank6 1.1751<br />
R bank3 0.5693 R bank7 7.1537<br />
R bank4 0.5468 R bank8 20.0044<br />
Maximum likelihood estimates with st<strong>and</strong>ard errors underneath.<br />
The values in <strong>the</strong> measurement error covariance matrix (R) are<br />
<strong>multi</strong>plied by 10 6 . The loglikelihood is on average equal to<br />
105:8186 (excluding constant in <strong>the</strong> loglikelihood). Factors 1 <strong>and</strong><br />
2 are <strong>the</strong> term structure <strong>factor</strong>s. Factor 4 refers to <strong>the</strong> spread<br />
<strong>factor</strong> (see main text).<br />
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