Skip to main content

Table 6 Results for a floater with cap and floor

From: Model order reduction for the simulation of parametric interest rate models in financial risk analysis

Performance Scenario

5 years

10 years

Model

ROM

UnRisk

ROM

UnRisk

Favorable (90th percentile)

1.013

1.014

1.105

1.101

Moderate (50th percentile)

1.009

1.002

1.067

1.066

Unfavorable (10th percentile)

0.988

0.984

1.038

1.041