Media Yield Curves and Chance-Risk Classification: Modeling, Forecasting, and Pension Product Portfolios

Yield Curves and Chance-Risk Classification: Modeling, Forecasting, and Pension Product Portfolios

uploaded June 10, 2021 Views: 87 Comments: 0 Marked favorite: 0
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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.

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Categories: PENSIONS
Content groups:  content2021

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