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finanzmaster


Total Posts: 155
Joined: Feb 2011
 
Posted: 2018-07-08 22:11
The Nelson-Siegel-[Svensson] Model is a common approach to fit a yield curve. Its popularity might be explained with economic interpretability of its parameters but most likely it is because the European Central Bank uses it. However, what may do for ECB will not necessarily work in all cases: the model parameters are sometimes extremely unstable and fail to converge.

https://letyourmoneygrow.com/2018/07/08/pitfalls-of-nelson-siegel-yield-curve-modeling-part-i/

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

finanzmaster


Total Posts: 155
Joined: Feb 2011
 
Posted: 2018-07-11 13:59
The 2nd part:
https://letyourmoneygrow.com/2018/07/11/pitfalls-of-nelson-siegel-yield-curve-modeling-part-ii-what-ml-and-ai-cannot-do/

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

pj


Total Posts: 3394
Joined: Jun 2004
 
Posted: 2018-07-11 14:37
A typo in first part
> Nelson-Siegel were aware of these problems and offed a way to solve them.
Unless it was intentional.

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

finanzmaster


Total Posts: 155
Joined: Feb 2011
 
Posted: 2018-07-11 20:50
thanks, pj!
typo corrected

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students
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