VALUE AT RISK FOR CORPORATE BOND PORTFOLIOS - Risk measurement systems (particularly daily value at risk (VaR) systems) typically reflect a compromise between the competing objectives of delivering cost-effective and timely but reasonably accurate results. Judicious choices with respect to the data used and computational aspects can be made to reduce the overall costs and computation time. An ...
| Year of publication: |
2003
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| Authors: | Venkatesh, P.C. |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 13.2003, 2, p. 19-32
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