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@article{ART002471362},
author={Tae HyeonWuk and Geonyoup Noh and Kim Byung-June and Jang Bong-Gyu and Kyoung Gook Park},
title={The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2019},
volume={30},
number={2},
pages={3-53},
doi={10.23842/jif.2019.30.2.001}

TY - JOUR
AU - Tae HyeonWuk
AU - Geonyoup Noh
AU - Kim Byung-June
AU - Jang Bong-Gyu
AU - Kyoung Gook Park
TI - The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model
JO - Journal of Insurance and Finance
PY - 2019
VL - 30
IS - 2
PB - Korea Insurance Research Institute
SP - 3
EP - 53
SN - 2384-3209
AB - We use the Dynamic Nelson-Siegel model (DNS) to simulate interest rate shocks and analyze how they affect the term structure of interest rates. We generate scenarios of the interest rate shocks following the suggestion of ICS: mean-reversion, level-up and down, twist-up and down shocks. Sensitivity analysis is also conducted on various parameter assumptions. We find that each scenario gives a various impact on the term structure. Therefore, it is necessary to cope with risk factors of interest rate shocks. Moreover, we analyze the difference in the interest rate shock scenarios between PCA and DNS. It will be necessary to select a model suitable for the domestic environment through various analyses and comparisons of interest rate risk models.
KW - DNS;Interest rate shock;PCA;K-ICS
DO - 10.23842/jif.2019.30.2.001
ER -

Tae HyeonWuk, Geonyoup Noh, Kim Byung-June, Jang Bong-Gyu and Kyoung Gook Park. (2019). The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model. Journal of Insurance and Finance, 30(2), 3-53.

Tae HyeonWuk, Geonyoup Noh, Kim Byung-June, Jang Bong-Gyu and Kyoung Gook Park. 2019, "The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model", Journal of Insurance and Finance, vol.30, no.2 pp.3-53. Available from: doi:10.23842/jif.2019.30.2.001

Tae HyeonWuk, Geonyoup Noh, Kim Byung-June, Jang Bong-Gyu, Kyoung Gook Park "The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model" Journal of Insurance and Finance 30.2 pp.3-53 (2019) : 3.

Tae HyeonWuk, Geonyoup Noh, Kim Byung-June, Jang Bong-Gyu, Kyoung Gook Park. The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model. 2019; 30(2), 3-53. Available from: doi:10.23842/jif.2019.30.2.001

Tae HyeonWuk, Geonyoup Noh, Kim Byung-June, Jang Bong-Gyu and Kyoung Gook Park. "The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model" Journal of Insurance and Finance 30, no.2 (2019) : 3-53.doi: 10.23842/jif.2019.30.2.001

Tae HyeonWuk; Geonyoup Noh; Kim Byung-June; Jang Bong-Gyu; Kyoung Gook Park. The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model. Journal of Insurance and Finance, 30(2), 3-53. doi: 10.23842/jif.2019.30.2.001

Tae HyeonWuk; Geonyoup Noh; Kim Byung-June; Jang Bong-Gyu; Kyoung Gook Park. The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model. Journal of Insurance and Finance. 2019; 30(2) 3-53. doi: 10.23842/jif.2019.30.2.001

Tae HyeonWuk, Geonyoup Noh, Kim Byung-June, Jang Bong-Gyu, Kyoung Gook Park. The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model. 2019; 30(2), 3-53. Available from: doi:10.23842/jif.2019.30.2.001

Tae HyeonWuk, Geonyoup Noh, Kim Byung-June, Jang Bong-Gyu and Kyoung Gook Park. "The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS Model" Journal of Insurance and Finance 30, no.2 (2019) : 3-53.doi: 10.23842/jif.2019.30.2.001