Risk measures and behaviors for bonds under stochastic interest rate models

DOI10.1016/j.mcm.2011.11.070zbMath1255.91417MaRDI QIDQ1931093

Na Song, Wai-Ki Ching, Farzad Alavi Fard, Tak Kuen Siu, Eric S. Fung

Publication date: 24 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.11.070

zbMATH Keywords

risk measures; expected shortfall; tail risk; stochastic interest rate models

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions

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