Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Christian P. Fries, Tobias Nigbur, Norman Seeger
| Year of publication: |
June 2017
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|---|---|
| Authors: | Fries, Christian ; Nigbur, Tobias ; Seeger, Norman |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 42.2017, p. 175-198
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| Subject: | Risk management | Historical simulation | Displacement model | Negative risk factors | Value-at-Risk | Risikomaß | Risk measure | Simulation | Risikomanagement | Risiko | Risk | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2017.03.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011808562