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