A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps
Year of publication: |
2000
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Authors: | Niffikeer, Cindy I. ; Hewins, Robin D. ; Flavell, Richard B. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 7529053. - Vol. 24.2000, 12, p. 1903-1932
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