Accurate of VaR calculated using empirical models of the term structure
Pilar Abad; Sonia Benito
| Year of publication: |
2009
|
|---|---|
| Authors: | Abad, Pilar ; Benito, Sonia |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 12.2009, 6, p. 811-832
|
| Subject: | Zinsstruktur | Yield curve | Theorie | Theory | Schätzung | Estimation | VAR-Modell | VAR model | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003911243