Interest Rate Risk Models Validation in Emerging Markets

Student: Prakhov Ivan

Supervisor: Victor A Lapshin

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 10

Year of Graduation: 2016

Interest risk exposures relative to financial institutions operating in emerging markets are discussed within the thesis. The systemic methodology of decision taking regarding interest risk models is developed based on backtesting of VaR exposures. Models discussed are univariate and multivariate GARCH models, Nelson-Siegel model and main affine models (Vasicek, CIR and Hull-White models).

Full text (added May 15, 2016)

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