Zhongfang He holds a PhD in Economics from the University of Toronto and is currently working in the area of structural interest rate risk in Toronto, Canada. Previously he worked as a researcher of financial market and macroeconomics at the central bank of Canada. His research interests include econometrics and its empirical applications in the area of finance and macroeconomics.
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
This paper proposed a nonparametric approach to decompose a macroeconomic variable into an interest-rate-correlated component and a macro-specific component.