In this paper we measure the error of estimating the term structure by the YTM/Duration approximation. The figures are based on the fact that model of term structure proposed by Nelson and Siegel (1987) is valid, and bonds are bullets. For the case of Chile we found that the approximation...

Nelson and Siegel (1987) propose a parametric model for the yield curve. Since it is easy to estimate, it became popular among practitioners and Central Bank’s analysts. Diebold and Li (2006) provide a dynamic version of the Nelson-Siegel (DNS) model, showing that it performs well in outof-...

Based on a new dataset obtained from survey data, we study household debt default behavior in Chile. Previous research in this area suggests financial and personal variables that can help estimate individual and group probabilities of default. We study mortgage and consumer default separately,...

The Contingent Claim Analysis (CCA) is a useful tool for the risk analysis of listed companies. In this paper, we present the application of CCA to the department-store firms listed on the Chilean stock market. We obtain two main results: (1) the simplified version of distance to default...

In this paper we provide a useful method to forecast one the most popular technical analysis tool: the Relative Strength Index (RSI). This method is based on the assumption that stock price can be characterized by the standard binomial model widely used for pricing option. The algorithm is as...