Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement

The authors thank editor Kay Giesecke, the associate editor, and two referees for helpful comments on the paper; participants at the 2017 Federal Reserve System Committee Meeting on Financial Institutions, Regulation, and Markets Program, the 22nd Annual Conference of the Swiss Society for Financial Market Research, and the IBEFA Virtual Summer Meeting 2020, including our discussants Peter Van Tassel, Scott Murray, and Petros Katsoulis for helpful comments; Eric Fischer and Nikola Mirkov for helpful comments and suggestions on an earlier draft of the paper; and Nikola Mirkov and Thomas Nitschka for sharing the Swiss yield data with us. The views in this paper are solely the responsibility of the authors and not necessarily those of the Federal Reserve Bank of San Francisco or the Federal Reserve System.