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Anpassung eines CIR-1-Modells zur Simulation der Zinsstrukturkurve

Simulation of the yield curve: checking a CIR-1-model

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Blätter der DGVFM

Zusammenfassung

Die Arbeit beschreibt die Simulation zukünftiger Bondpreise durch ein Cox-Ingersoll-Ross-Modell (CIR-Modell) für Zinsen, das von einem treibenden Faktor abhängt. Die Methoden zur Parameterschätzung und Kalibrierung werden mit expliziten Formeln dargestellt. Als Datenquelle dient der Zeitreihen-Service der Deutschen Bundesbank. Wir geben verschiedene Modellüberprüfungen an und wenden sie auf das CIR-Modell an. Im Ergebnis muss das Modell mit nur einem Faktor für den deutschen Rentenmarkt abgelehnt werden

Summary

We give a complete description of a simulation of future bond prices by a one-factor Cox-Ingersoll-Ross (CIR) interest rate model. Explicit methods and formulas are provided, the time series service of the German Federal Reserve is used as data source. Several model checks are developed and applied to the CIR model. As a result, the model has to be rejected for the German debt securities market.

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Literatur

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Author information

Authors and Affiliations

  1. Darmstadt

    Tom Fischer

  2. Bonn

    Angelika May

  3. Darmstadt

    Brigitte Walther

Authors
  1. Tom Fischer
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  2. Angelika May
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  3. Brigitte Walther
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Additional information

Der Autor wird unter Projektnummer 03LEM6DA durch das Bundesministerium für Bildung und Forschung (BMBF) gefördert.

Die Autorin wird unter Projektnummer 03MAM6CA durch das BMBF gefördert.

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Fischer, T., May, A. & Walther, B. Anpassung eines CIR-1-Modells zur Simulation der Zinsstrukturkurve. Blätter DGVFM 26, 193–206 (2003). https://doi.org/10.1007/BF02808372

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  • DOI: https://doi.org/10.1007/BF02808372

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