In this paper, we present a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...

The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about the importance or even the direction of its relationship with future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR...

The purpose of the paper is to propose a global discrete-time modeling of the term structure of interest rates able to capture simultaneously the following important features: (i) an historical dynamics of the factor driving term structure shapes involving several lagged values, and switching...

In this paper, we propose a model of the joint dynamics of euro-area sovereign yield curves. The arbitrage-free valuation framework involves five factors and two regimes, one of the latter being interpreted as a crisis regime. These common factors and regimes explain most of the fluctuations in...

We build an Affine Term Structure Model that provides non-negative yields at any maturity and that is able to accommodate a short-term rate that stays at the zero lower bound (ZLB) for extended periods of time while longer-term rates feature high volatilities. We introduce these features through...

In this paper, we propose a quadratic term-structure model of the EURIBOR-OIS spreads. As opposed to OIS, EURIBOR rates incorporate credit and liquidity risks. Indeed, a bank that lends on the unsecured market requires compensations for facing (a) the risk of default of the borrowing bank and...

We build an Affine Term Structure Model that provides non-negative yields at any maturity and that is able to accommodate a short-term rate that stays at the zero lower bound (ZLB) for extended periods of time while longer-term rates feature high volatilities. We introduce these features through...

The no arbitrage conditions are derived in the explicit form for the market, where the zero coupons bonds of various maturities are accessible for the investors to draw up the portfolios. It is supposed, that the investor at any moment of time has a possibility to make the self-financed...

This paper examines the market price of risk for discount bond prices under an affine term structure of interest rates. The usual relation plays two roles. First, it is the definition of market price of risk and, second, it provides a no arbitrage condition for the discount bond market. Here the...

This paper considers a problem of asset pricing for case when the short-term interest rate process does not have the markovian property. In this case the price can be determined also by state variables some of that are not observable. In the same time from the practical point of view, the...