- Joined
- 8/1/12
- Messages
- 3
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- 11
Hello All,
I am currently a financial engineering student doing a project that requires surveying industry use of interest rate models. This includea their use for trading, risk management, pricing and anything else I come across.
I would like to hear a collection of your opinions as to which interest rate models the industry has a consensus use for and where the industry demonstrates more significant variability in which models to select.
Further, any criteria you think is crucial to compare interest rate models would be very helpful.
I understand these are often specific to both the product and purpose and the answer I am requesting is inherently not simple. Regardless, any personal experience or estimations regarding the entire industry would be much appreciated.
Thank you
I am currently a financial engineering student doing a project that requires surveying industry use of interest rate models. This includea their use for trading, risk management, pricing and anything else I come across.
I would like to hear a collection of your opinions as to which interest rate models the industry has a consensus use for and where the industry demonstrates more significant variability in which models to select.
Further, any criteria you think is crucial to compare interest rate models would be very helpful.
I understand these are often specific to both the product and purpose and the answer I am requesting is inherently not simple. Regardless, any personal experience or estimations regarding the entire industry would be much appreciated.
Thank you
