Modeling of risk measure bonds using the beta model
Fatma Hachicha, Ahmed Hachicha, Afif Masmoudi
| Year of publication: |
2021
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|---|---|
| Authors: | Hachicha, Fatma ; Hachicha, Ahmed ; Masmoudi, Afif |
| Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 24.2021, 4, p. 2150033-1-2150033-18
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| Subject: | Bonds | duration | convexity | interest rate risk | model Vasicek | model CIR | beta distribution | reliability function | Zinsrisiko | Interest rate risk | Anleihe | Bond | CAPM | Zinsstruktur | Yield curve | Betafaktor | Beta risk | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219091521500338 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012805199