Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Year of publication: |
June 2017
|
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Authors: | Fries, Christian ; Nigbur, Tobias ; Seeger, Norman |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 42.2017, p. 175-198
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Subject: | Risk management | Historical simulation | Displacement model | Negative risk factors | Value-at-Risk | Risikomaß | Risk measure | Simulation | Risikomanagement | Portfolio-Management | Portfolio selection | Risiko | Risk | Theorie | Theory | Zinsrisiko | Interest rate risk |
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