Improving grid-based methods for estimating value-at-risk of fixed-income portfolios
Year of publication: |
2004
|
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Authors: | Gibson, Michael S. ; Pritsker, Matthew |
Published in: |
Innovations in risk management : seminal papers from the Journal of Risk. - London : Risk Books, ISBN 1-904339-28-X. - 2004, p. 149-177
|
Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Anleihe | Bond |
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