Chapter 12
Yield Curves and Interest Rates Models
Sergio S. Guirreri
Accenture S.p.A. Milan, Italy
12.1 A Brief Overview of the Yield Curve and Scenario Simulation
In recent years, the simulation of scenarios of macroeconomic variables has became a crucial issue. Institutional operators, such as national banks, insurance companies, and investment banks must evaluate different scenarios of financial and macroeconomic variables before adopting a monetary policy or promoting a new pension plan. Economic variables such as interest rates and monetary aggregates are often studied by economists to forecast the path of the economy or to predict an ongoing recession. The relationship among interest rates at different maturities contains relevant information ...
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