Value-at-Risk for fixed-income portfolios : a Kalman filtering approach
Year of publication: |
October 2016
|
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Authors: | Date, P. ; Bustreo, R. |
Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 27.2016, 4, p. 557-573
|
Subject: | Value-at-Risk | fixed-income portfolios | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Anleihe | Bond | Zustandsraummodell | State space model | Theorie | Theory |
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