Variance reduction technique for calculating value at risk in fixed income portfolios (Q3579797)
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scientific article; zbMATH DE number 5767982
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| default for all languages | No label defined |
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| English | Variance reduction technique for calculating value at risk in fixed income portfolios |
scientific article; zbMATH DE number 5767982 |
Statements
10 August 2010
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value at risk
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fixed income portfolios
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market risk
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Nelson and Siegel model
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0.774379312992096
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0.7527079582214355
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0.7488260865211487
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