A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps
Year of publication: |
2000
|
---|---|
Authors: | Niffikeer, Cindy I. ; Hewins, Robin David ; Flavell, Richard |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 24.2000, 12, p. 1903-1932
|
Subject: | Zinsderivat | Interest rate derivative | Theorie | Theory | Welt | World | Risikomaß | Risk measure |
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