Showing 1 - 10 of 14,878
Persistent link: https://www.econbiz.de/10011658741
Persistent link: https://www.econbiz.de/10010485685
Persistent link: https://www.econbiz.de/10011290635
Persistent link: https://www.econbiz.de/10011622146
Persistent link: https://www.econbiz.de/10014301383
Persistent link: https://www.econbiz.de/10011398114
Persistent link: https://www.econbiz.de/10011288770
Persistent link: https://www.econbiz.de/10011498808
Persistent link: https://www.econbiz.de/10011474523
Infinitesimal sensitivities, computed as derivatives of pricing functions, are useful to find high-frequency hedge ratios. However, they are less useful for the purpose of optimising 2-week VaR, especially if one includes shocks from stressed periods, as is required for applications to margin...
Persistent link: https://www.econbiz.de/10012968350