Balance-sheet interest rate risk : a weighted Lp approach
Leslaw Gajek and Elzbieta Krajewska
| Year of publication: |
October 2018
|
|---|---|
| Authors: | Gajek, Lesław ; Krajewska, Elzbieta |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 21.2018/2019, 1, p. 91-104
|
| Subject: | interest rate risk | internal models | asset-liability management | Lp-risk measure | interest rate risk hedging | Zinsrisiko | Interest rate risk | Hedging | Zins | Interest rate | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2018.395 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011980294