Sommaire : 12.1 Purpose and Structure of This Chapter
12.2 Structural Models
12.3 A Simple Taxonomy
12.4 Why do we Need No-Arbitrage Models After All?
12.5 Affine Models and the Drivers of The Yield Curve
12.6 Introducing No-Arbitrage
12.7 Which Variables Should One use?
12.8 Risk Premia Implied by Affine Models with Constant Market Price of Risk
12.9 Testable Predictions: Constant Market Price of Risk
12.10 What Do We Know About Excess Returns?
12.11 Understanding the Empirical Results on term Premia
12.12 Enriching the First-Generation Affine Models
12.13 Latent Variables: The D'Amico, Kim, and Wei Model
12.14 From Linear Regressors to Affine Models: the ACM Approach
12.15 Affine Models using Principal Components as Factors
12.16 The Predictions from the "Modern" Models
12.17 Conclusions
References

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