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Old 02-05-2016, 05:32 PM
MathGeek92 MathGeek92 is offline
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Quote:
Originally Posted by campbell View Post
I'm sorry to be selfish (no, I'm not), but I'm thinking about the updates we'll have to make on the NAIC Economic Scenario Generator.

It was bad enough when we didn't anticipate a zero interest rate policy and had to adjust all the code.

Now I have to think whether the model will at all accommodate negative interest rates with simple code changes, or if we have to entirely redo
and not even just negative short rates, but can a negative UST out 5 years be accomodated with the model. it could happen for sure. If the deflation really starts to take hold and the Fed ramps up a NIRP, you will see the UST plummet across the board

Last edited by MathGeek92; 02-05-2016 at 05:32 PM.. Reason: fixed typo. :)
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