A Factor Analysis Of Bond Risk Premia
The solution covers the entire risk management cycle: identification, assessment and measurement of risks as well as implementation of corrective actions and assessment of risk controls. A comprehensive and integrated full-web solution, Enablon RM allows companies to automate and centralize the entire risk management cycle. Enablon RM offers the following functionalities: We use a no-arbitrage essentially affine three-factor model to estimate term premia in US and German ten-year government bond yields. In line with the existing literature, we find that estimated premia have followed a downward trend since the 1980s: from 4.9 per cent in 1981 to 0.7 per cent in 2006 for the US bond and from 3.3 to 0.5 per cent for the German one.