Table 12 CIR estimates, used in this paper, from the log-likelihood method
From: Risk assessment for synthetic GICs: a quantitative framework for asset–liability management
\(\kappa \) | \(\nu \) | \(r_\infty \) or \(s_\infty \) | |
|---|---|---|---|
Interest rates | 0.0794 | 0.0656 | 0.0425 |
OAS spreads portfolio 1 | 0.893 | 0.0634 | 0.0070 |
OAS spreads portfolio 2 | 0.687 | 0.0774 | 0.0111 |
OAS spreads portfolio 3 | 0.661 | 0.0974 | 0.0184 |