Stress testing interest rate risk exposure
Year of publication: |
2014
|
---|---|
Authors: | Abdymomunov, Azamat ; Gerlach, Jeffrey |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 49.2014, C, p. 287-301
|
Publisher: |
Elsevier |
Subject: | Bank | Interest rate risk | Stress testing | Scenario generation | Nelson-Siegel model |
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