Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement
针对保险公司和养老金负债期限远超最长债券期限的问题，用动态Nelson-Siegel模型外推无风险收益率曲线，发现偏差很小，并能生成压力测试所需的风险指标。
Insurance companies and pension funds have liabilities far into the future and typically well beyond the longest maturity bonds trading in fixed-income markets. Such long-lived liabilities still need to be discounted, and yield curve extrapolations based on the information in observed yields can be used. We use dynamic Nelson-Siegel (DNS) yield curve models to extrapolate risk-free yield curves for Switzerland and several countries. We find slight biases in extrapolated long bond yields of just a few basis points. In addition, the DNS model allows the generation of useful financial risk metrics, such as ranges of possible yield outcomes over projection horizons commonly used for stress-testing purposes. Therefore, we recommend using DNS models as a simple tool for generating extrapolated yields for long-term interest rate risk management. This paper was accepted by Kay Giesecke, finance. Supplemental Material: The data files and online appendices are available at https://doi.org/10.1287/mnsc.2021.4215 .