Measuring risk in fixed income portfolios using yield curve models
Year of publication: |
June 2015
|
---|---|
Authors: | Caldeira, João F. ; Moura, Guilherme Valle ; Santos, André A. P. |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 46.2015, 1, p. 65-82
|
Subject: | Dynamic conditional correlation (DCC) | Dynamic factor models | Value-at-risk (VaR) | Yield curve | Risikomaß | Risk measure | Zinsstruktur | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Theorie | Theory | Anleihe | Bond | ARCH-Modell | ARCH model |
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