Managing value-at-risk for a bond using bond put options

DOI10.1007/S10614-006-9068-9MaRDI QIDQ2642582zbMATH OpenOpenAlexFDO

Authors Griselda Deelstra, Ahmed Ezzine, Dries Heyman, Michèle Vanmaele

Publication date 17 August 2007

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/7612/1/gd-0020.pdf

zbMATH Keywords

Bond hedgingValue-at-RiskVasicek interest rate model

Mathematics Subject Classification ID

Recommendations

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Cites work

• An equilibrium characterization of the term structure
• scientific article; zbMATH DE number 1228098 (Why is no real title available?)
• Risk management of a bond portfolio using options

Cited in

(5)

• Reducing risk by merging counter-monotonic risks
• Monotone tail functions: definitions, properties, and application to risk-reducing strategies
• Risk management of a bond portfolio using options
• DUAL ANALYSIS ON HEDGING VaR OF BOND PORTFOLIO USING OPTIONS
• Option-based risk management of a bond portfolio under regime switching interest rates

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