Social Security and other public policies can be viewed as a series of cash in and outflows that depend on parameters such as the age distribution of the population and the retirement age. Given forecasts of these parameters, policies can be designed to be financially stable, i.e., to terminate...

Social Security and other public policies can be viewed as a series of cash in and outflows that depend on parameters such as the age distribution of the population and the retirement age. Given forecasts of these parameters, policies can be designed to be financially stable, i.e., to terminate...

We discuss the Taylor rule near low inflation and interest rates. Using an additional option-like term in the Federal Reserve’s loss function (i.e., the ‘‘deflation put’’) we extend the classic Taylor rule to one with an asymmetric response that is more accommodative when the inflation...

We develop a simple integrated model for the term structure of swap spreads. We begin with a model for explaining the dynamics of the riskless treasury curve in terms of two factors. We add to the basic model additional inputs that describe the evolution of the implied hazard rate intensity for...

First passage models, where corporate assets undergo correlated random walks and a company defaults if its assets fall below a threshold provide an attractive framework for modeling the default process. Typical one year default correlations are small, i.e., of order a few percent, but...