Delta-Normal value at risk using exponential duration with convexity for measuring government bond risk
Di Asih I Maruddani, Abdurakhman Abdurakhman
| Year of publication: |
2021
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|---|---|
| Authors: | Maruddani, Di Asih I ; Abdurakhman Abdurakhman |
| Published in: |
DLSU business & economics review. - Manila : Univ., ISSN 0116-7111, ZDB-ID 2500625-3. - Vol. 31.2021, 1, p. 72-80
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| Subject: | value at risk | delta-normal | exponential duration | convexity | government bond | Risikomaß | Risk measure | Öffentliche Anleihe | Public bond | Theorie | Theory | Messung | Measurement | Portfolio-Management | Portfolio selection | Risiko | Risk | Dauer | Duration | Anleihe | Bond | Risikomanagement | Risk management | Zinsstruktur | Yield curve |
| 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://ebvufind01.dmz1.zbw.eu/10013472258