Financial Risk Manager Part 2
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A practitioner collects the recent fixed-income market data and obtain the following estimation results for the Gauss+ model:
Parameters Estimation Results α_r 1.0547 α_m 0.6358 α_l 0.0165 σ_m 109.2 bps σ_l 96.4 bps ρ 0.212 μ 10.56% r_t 2.25% m_t 4.90% l_t 8.32%
Based on the information provided, what is the half-life for long-term factor?
A practitioner collects the recent fixed-income market data and obtain the following estimation results for the Gauss+ model:
| Parameters | Estimation Results |
|---|---|
| α_r | 1.0547 |
| α_m | 0.6358 |
| α_l | 0.0165 |
| σ_m | 109.2 bps |
| σ_l | 96.4 bps |
| ρ | 0.212 |
| μ | 10.56% |
| r_t | 2.25% |
| m_t | 4.90% |
| l_t | 8.32% |
Based on the information provided, what is the half-life for long-term factor?
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