A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps
Article Abstract:
A study of the examination of interest rate swaps from a number of countries is presented with emphasis on their common factors. Synthetic models of two of these factors are used to form a method for estimating value-at-risk.
author: Niffikeer, Cindy I., Hewins, Robin D., Flavell, Richard B.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2000
Research, Models, Risk management, Interest rate swaps
Evaluating implied RNDs by some new confidence interval estimation techniques
Article Abstract:
Bootstrap method to examine confidence intevals for risk-neutral distributions in investment decisions is presented.
author: Anderson, Magnus, Lomakka, Magnus
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
Germany, Sweden, Analysis, Confidence intervals
Portfolio selection with a drawdown constraint
Article Abstract:
Selection of an optimal portfolio of a manager by imposing maximum drawdown constraint is discussed.
author: Alexander, Gordon J., Baptista, Alexandre M.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
United States, Labor force information, Investment advice, Investment Advisory Services, Employment, Investment advisers
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