Risk measures and behaviors for bonds under stochastic interest rate models (Q1931093)
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scientific article; zbMATH DE number 6128943
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| English | Risk measures and behaviors for bonds under stochastic interest rate models |
scientific article; zbMATH DE number 6128943 |
Statements
Risk measures and behaviors for bonds under stochastic interest rate models (English)
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24 January 2013
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risk measures
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stochastic interest rate models
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tail risk
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expected shortfall
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0.88899076
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0.8883243
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0.8864759
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0.88511634
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0.8806846
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