R-codebase for a scientific research article, titled "Approaches for modelling the term-structure of default risk under IFRS 9: A tutorial using discrete-time survival analysis"
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Jun 16, 2026 - R
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term-structure-models
Here are 7 public repositories matching this topic...
Term Structure Interpolation Considering Regulators Meetings
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May 8, 2025 - R
Research on term structure.
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Aug 28, 2023 - Jupyter Notebook
Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model
financial-analysis bonds yield-curve time-series-analysis time-series-forecasting term-structure-models financial-data-analysis heath-jarrow-morton
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Dec 9, 2023 - MATLAB
Nelson-Siegel-Svensson Term Structure model interactive showcase
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Oct 30, 2025 - TypeScript
The abstract Heath-Jarrow-Morton model: Calibration and forecasting the US daily Treasury yield curve rates
time-series-analysis time-series-forecasting term-structure-models financial-data-analysis vasicek-model short-rates heath-jarrow-morton us-treasuries
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Nov 28, 2020 - MATLAB
📈 Forecast U.S. Treasury yield curves with a robust machine learning approach, enhancing accuracy and decision-making in finance.
python machine-learning random-forest econometrics scipy principal-component-analysis fixed-income term-structure-models financial-modeling nelson-siegel-model vasicek-model forecast-combination short-rates heath-jarrow-morton treasury-bonds distributionally-robust-optimization structural-breaks
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Sep 1, 2026 - Assembly
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