1,720,976 research outputs found
Assessment of a pandemic emergency financing facility
No full textThe pandemic bond issued by the World Bank (WB) in 2017 is a financial innovation enabling the transfer of the pandemic risk from the underdeveloped/developing countries to the financial market. It covers perils of various diseases that could overwhelm the global health systems and adversely impact the world economy. If all the triggers are activated, the bond’s principal and coupons are used to finance coordinated, swift and resilient medical response to safeguard the well-being of the populace. This product, however, is criticised for its onerous trigger requirements. We examine the WB’s pandemic-bond pricing framework, which requires inputs that are only partially available. From a rather unstructured COVID-19 data set, an information database is created and customised for pandemic-bond valuation. A vector auto-regressive moving average model is utilised to jointly describe the triggers dynamics. Our modelling simulations of risk triggers reveal that the bond payout could be made in less than half of the WB’s earliest opportunity of 85 days
An interest rate model with a Markovian mean reverting level
No full textA two-factor Vasicek model, where the mean reversion level changes according to a continuous time finite state Markov chain, is considered. This model could capture the behaviour of monetary authorities who normally set a reference rate which changes from time to time. We derive the term structure via the analytic expression of the bond price that involves a fundamental matrix. The validity of the bond price closed form solution is verified via the forward rate dynamics.
A computing platform for pairs-trading online implementation via a blended Kalman-HMM filtering approach
No full textAn online estimation scheme for a Hull–White model with HMM-driven parameters
No full textRegime-switching, Markov model, Interest rate dynamics, Mean-reversion, Filtering, Optimal parameter estimation,
An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
No full text
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