Yield Curves and Chance-Risk Classification: Modeling, Forecasting, and Pension Product Portfolios
Winner of the GAUSS Prize for Young Academics 2020
The dissertation which is summarized here in a short presentation consists of three independent parts: The yield curve shapes generated by interest rate models, the yield curve forecasting, and the application of the chance-risk classification to a portfolio of pension products. As a component of the capital market model, the yield curve influences the chance-risk classification which was introduced to improve the comparability of pension products and strengthen consumer protection. Consequently, all three topics have a major impact on this essential safeguard.