We consider the yield curves that one- and two-factor Vasicek interest rate models can produce. As a result, we show that the two-factor Vasicek model can explain significantly more effects that are observed at the market than its one-factor variant. Among them are humped shapes independent of the interest rate level and the occurrence of dipped yield curves. We further explain how a general change of measure framework can be used to achieve a desirable evolution of the yield curve shapes over time. This has particular applications in chance-risk classification of pension products.
 Diez, F. and Korn, R. (2019), “Yield Curve Shapes of Vasicek Interest Rate Models, Measure Transformations and an Application for the Simulation of Pension Products.” working paper.