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Equilibrium interest rate models for the Indian Government security market

Sunrita Chaudhuri & Alok Pandey

International Journal of Financial Markets and Derivatives2024https://doi.org/10.1504/ijfmd.2024.140636article
ABDC C
Weight
0.43

What the paper says

After the financial sector reforms of the 1990s, interest rates in the debt segment are increasingly being determined by the market. Active participants in the debt market, therefore, need to use appropriate models to ensure fair pricing of interest rate related products and their derivatives. The two most widely used equilibrium models are Vasicek and Cox Ingersoll and Ross model. This study estimates the parameters of the Vasicek and Cox and Ingersoll and Ross model using 91Days T-Bills data from the Indian market. Thereafter the term structure of interest rates is simulated for future periods. Finally, the model parameters are used to price interest rate related instruments and derivative instruments.

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https://doi.org/https://doi.org/10.1504/ijfmd.2024.140636

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@article{sunrita2024,
  title        = {{Equilibrium interest rate models for the Indian Government security market}},
  author       = {Sunrita Chaudhuri & Alok Pandey},
  journal      = {International Journal of Financial Markets and Derivatives},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.1504/ijfmd.2024.140636},
}

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Evidence weight

0.43

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.31 × 0.4 = 0.13
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.