Assessing the Impact of Geopolitical Risk on Longevity Bond Pricing: Insights from Bayesian Multivariate Regression
Abstract This paper investigates the multivariate pricing of coupon longevity bonds (CLBs) using the Fama–French–Lee–Carter (FF–LC) five-vector model in the framework of Bayesian integrated nested Laplace approximation (INLA) in the presence of geopolitical risk (GPR). The variance-covariance and co...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer
2024-12-01
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| Series: | Journal of Statistical Theory and Applications (JSTA) |
| Subjects: | |
| Online Access: | https://doi.org/10.1007/s44199-024-00088-6 |
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