Modelling Specific Interest Rate Risk with Estimation of Missing Data

DOI10.1080/1350486042000297243MaRDI QIDQ5700152zbMATH OpenOpenAlexFDO

Authors Thomas Siegl, Peter Quell

Publication date 27 October 2005

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486042000297243

zbMATH Keywords

copula functionsEM-algorithmmultiple imputationvalue at risk

Mathematics Subject Classification ID

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Cites work

• An introduction to copulas.
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 4088699 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)

Describes a project that uses

Uses Software

• RiskMetrics

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