Risk measures and behaviors for bonds under stochastic interest rate models (Q1931093): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.mcm.2011.11.070 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1965954226 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Intertemporal Capital Asset Pricing Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: An equilibrium characterization of the term structure / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Interest-Rate-Derivative Securities / rank
 
Normal rank
Property / cites work
 
Property / cites work: A model for pricing real estate derivatives with stochastic interest rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of contingent claims with mortality and interest rate risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analytical value-at-risk with jumps and credit risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia* / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introductory Stochastic Analysis for Finance and Insurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON / rank
 
Normal rank

Latest revision as of 03:50, 6 July 2024

scientific article
Language Label Description Also known as
English
Risk measures and behaviors for bonds under stochastic interest rate models
scientific article

    Statements

    Risk measures and behaviors for bonds under stochastic interest rate models (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    24 January 2013
    0 references
    risk measures
    0 references
    stochastic interest rate models
    0 references
    tail risk
    0 references
    expected shortfall
    0 references

    Identifiers