Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Xiaoyu Wang, Dejun Xie, Jingjing Jiang, Xiaoxia Wu, Jia He
| 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 | Risikomaß | Risk measure | Monte-Carlo-Simulation | Portfolio-Management | Portfolio selection | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Simulation | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.11.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011807256