Risk management of a bond portfolio using options (Q2463566)
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scientific article; zbMATH DE number 5219806
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Risk management of a bond portfolio using options |
scientific article; zbMATH DE number 5219806 |
Statements
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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0.8656151294708252
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0.8277879357337952
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0.778141975402832
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0.7760133147239685
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0.7749465107917786
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