Actuarial Outpost
Go Back   Actuarial Outpost > Exams - Please Limit Discussion to Exam-Related Topics > SoA > Fellowship Modules
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

DW Simpson Global Actuarial & Analytics Recruitment
Download our Actuarial Salary Survey
now with state-by-state salary information!

Thread Tools Search this Thread Display Modes
Old 08-05-2019, 10:15 PM
jano01 jano01 is offline
Join Date: Oct 2017
College: Universite Libre de Bruxelles
Posts: 7
Default Scenario Modeling Module - Error?

Hi there,

I'd like to ask you your opinion on the MLE-based calibration of the CIR model (slide 253). They seem to fit a normal distribution based on the theoretical mean and variance, but CIR model theoretically yields to a non-central chi-square distribution (see the reading assignment in the previous slides, or Brigo-Mercurio for those who passed QFIA).

I would tend to say it might be valid if we use some kind of Central Limit theorem argument, but I can't see any other argument supporting that. Plus, the skew would also be exacerbated for very low rates if the model does not allow for negative rates.

Any thoughts? Did they do that only for the sake of simplicity?
Reply With Quote

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off

All times are GMT -4. The time now is 12:20 PM.

Powered by vBulletin®
Copyright ©2000 - 2019, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.09225 seconds with 9 queries