Risk management of a bond portfolio using options (Q2463566): Difference between revisions
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Property / cites work: Coherent Measures of Risk / rank | |||
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Property / cites work: Interest rate models -- theory and practice / rank | |||
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Latest revision as of 14:10, 27 June 2024
scientific article
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English | Risk management of a bond portfolio using options |
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Risk management of a bond portfolio using options (English)
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14 December 2007
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(tail) value-at-risk
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bond hedging
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affine term structure model
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