Articles by sang-heon lee

IAIS DNS Shock Generating Algorithm with R code

May 8, 2021 | sang-heon lee

Sang-Heon Lee This article explains how to calculate DNS shock scenarios based on IAIS (2019). We implement DNS shock generating algorithm using R code with some modification. IAIS DNS Shock Generating Algorithm Risk-based Global Insurance Capital Standard is for the regulatory capital requirements against the unexpected loss of insurance companies. Especially ...
[Read more...]

Dynamic Nelson-Siegel model with R code

May 8, 2021 | sang-heon lee

Sang-Heon Lee This article explains how to estimate parameters of the dynamic Nelson-Siegel (DNS) model (Diebold and Li;2006, Diebold, Rudebusch, and Aruoba;2006) using Kalman filter. We estimate not only parameters but also filtered latent factor estimates such as level, slope, and curvature using R code. Dynamic Nelson-Siegel model 1. DNS modelThe ...
[Read more...]

Arbitrage-free Nelson Siegel model with R code

May 8, 2021 | sang-heon lee

Sang-Heon Lee This article explains how to estimate parameters of the Arbitrage-Free dynamic Nelson-Siegel (AFNS) model (Christensen, Diebold, and Rudebusch; 2009, Christensen, Diebold, and Rudebusch; 2011) using Kalman filter. We estimate not only parameters but also filtered latent factor estimates such as level, slope, and curvature using R code. 1. AFNS modelAFNS model ...
[Read more...]
1 2 3

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)