Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Year of publication: |
May 2017
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Authors: | Wang, Xiaoyu ; Xie, Dejun ; Jiang, Jingjing ; Wu, Xiaoxia ; He, Jia |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 21.2017, p. 10-20
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Subject: | Value-at-Risk | Monte Carlo simulation | Delta-Gamma approximation | Vasicek model | Cox-Ingersoll-Ross model | Monte-Carlo-Simulation | Risikomaß | Risk measure | Zinsstruktur | Yield curve | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Simulation |
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