No Access
Chapter 10: Stochastic Interest Rates
https://doi.org/10.1142/9789813224681_0010Cited by:0 (Source: Crossref)
Abstract:
In previous chapters we have assumed the rate of interest to be constant through time, or varying through time in a deterministic manner. A well-known deterministic set of interest rate scenarios is the collection of seven prescribed interest rate movements required by the U.S. 1990 Standard Valuation Law for cash-flow testing. These scenarios are similar to those used in the New York Regulation 126 and they are now commonly known as the NY7 model…
