vasicek

Learning Objectives: Describe and apply the Vasicek model to estimate default rate and credit risk capital for a bank. Describe the CreditMetrics model and explain how it is applied in estimating economic capital. Describe and use the Euler’s theorem to determine the contribution of a loan to...

Learning objectives: Construct and describe the effectiveness of a short-term interest rate tree assuming normally distributed rates, both with and without drift. Calculate the short-term rate change and standard deviation of the rate change using a model with normally distributed rates and no...

hi, could you help me with this from the picture, how can we rearrange the Ui to the function of F? are we solving Zi here? but if we are solving Zi, I am confused with the procedure of cumulative function of the whole function. thx

Hi, Can anyone demonstrate an example of how the rates in the Vasicek model tree is calculated? I am looking at Tuckman's chapter 9 study notes on page 57 (see attached). For example, how is the rate at (1,1) of 5.5060% calculated? Thank you

In "The Art of Term Structure Models : Drift" Tuckman mentions regarding term structure of volatility that: "The term structure of volatility in Model 1 is constant at 113 basis points." He also mentions that the Model 2 and the Ho-Lee, both do not change the term structure of volatility...

Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...

Hi David, I have a question about the Vasicek Model. I have seen a couple of practice questions come up (not BT questions) where the volatility adjustment is ignored when determine the future rate. For reference let me post some details of the question I just saw today: -mean reversion...