Berlin 2015 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 4: Financial Markets and Risk Management

SOE 4.4: Vortrag

Montag, 16. März 2015, 11:30–11:45, MA 001

Analysis of German Interest Rates according to Standard Models and beyond. — •Magda Schiegl — Hochschule Landshut, Am Lurzenhof 1, D-84036 Landshut

Over the last years interest rates decreased continuously in Germany. The short period interest rates even decline to negative values. This development is very crucial and especially demanding for companies dealing with long term investments.

For the risk management of interest-rate-sensitive investments stochastic models are used. The standard interest rate models, the CIR (Cox, Ingersoll, Ross) and the Vasicek model (Ornstein-Uhlenbeck-Process) are Langevin type models. They consist of a mean reverting drift part and a volatility part. The models differ in this second part concerning the volatility dependence on the interest rate's size. The mean reverting ansatz reflects the idea of an "equilibrium" interest rate to be achieved as a stable state in the long run attracting the fluctuating interest rate.

We analyse the German interest data according to these standard models and ask for their relevance. Various methods are applied to analyse for instance: The time series, the interest rate cdfs and the time scaling behaviour of the volatility. We compare the results of the empirical data with theoretical and Monte Carlo results of the standard models.