Indepedent study of Academy of Actuaries SLV Interest Rate Model

This book reports on an independent study of the Academy of Actuaries Stochastic Log Volatility Interest Rate Model. This is not in any way commissioned by the Academy of Actuaries. This is the start of a series to review the Academy Economic Scenario Generator.

The Academy SLV model is a 3 factor interest rate model. The long term yield mean reverts to a target subject to stochastic volatility. The spread mean reverts to a target. The volatility of the long term rate is mean reverting.

This ...