Improving grid-based methods for estimating value at risk of fixed-income portfolios
Michael S. Gibson and Matthew Pritsker
| Year of publication: |
2000
|
|---|---|
| Authors: | Gibson, Michael S. ; Pritsker, Matthew |
| Publisher: |
Washington, DC : Div. of Research & Statistics, Federal Reserve Board [u.a.] |
| Subject: | Portfolio-Management | Portfolio selection | Anleihe | Bond | Derivat | Derivative | Schätztheorie | Estimation theory | Theorie | Theory | Risikomaß | Risk measure |
| Extent: | 29, 6 S graph. Darst |
|---|---|
| Series: | Finance and economics discussion series. - Washington, DC : Board of Governors of the Federal Reserve System, ZDB-ID 2178137-0. - Vol. 2000-25 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.:http://www.federalreserve.gov/pubs/feds/2000/200025/200025pap.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001486259