We propose a discrete, dynamic version of the Nelson-Siegel yield curve model, taking as valid the Log Expectations Hypothesis, plus an explicit modeling of the model’s factor dynamics. Within this framework, we propose two ways to identify the model parameters: ARIMA and cointegration. With...

This overview presents an integrated summary of the works presented at the twelfth annual conference of the Central Bank of Chile, Financial Stability, Monetary Policy and Central Banking,” held in November 2008 and to be compiled into a forthcoming book. The works, that include both...

Following Jara and Oda (2007), we consider a group of Chilean banks specializing in consumer loans. Taking the dynamics of the group as a whole, we propose a credit risk model that is based on loan loss provisions. Using accounting ratios, we show that a model for this purpose is dynamic and...